Rethinking Exit Strategies: How Machine Learning Can Boost Anomaly Returns

Nitin Kumar, Nagpurnanand Prabhala, and Ravi Ranjan, authors of the January 2026 study “Anomaly Premiums with Dynamic Exits,” challenged a fundamental assumption in quantitative investing: that you should hold anomaly-based portfolios for a fixed period—portfolios are passively held in entirety for.