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Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. Statistics of strong explanative power, called "factor", have been proposed to summarize the essence of predictive stock returns. The challenge here is to make a multi-factor investment strategy that is consistent over a reasonably long period based on supervised machine learning. Although machine learning methods are increasingly popular in stock return prediction, an inference of the stock return is highly elusive, and naive use of complex machine learning methods easily overfits the current data and results in poor performance on future data. We propose a principled stock return prediction framework that we call Ranked Information Coefficient Neural Network (RIC-NN) that alleviates the overfitting. RIC-NN addresses the difficulty that arises in nonconvex machine learning: Namely, initialization and the stopping of the training model and the transfer among several different tasks (markets). RIC-NN is a deep learning approach and includes the following three novel ideas: (1) nonlinear multi-factor approach, (2) stopping criteria with ranked information coefficient (rank IC), and (3) deep transfer learning among multiple regions. Experimental comparison with the stocks in the Morgan Stanley Capital International indices shows that RIC-NN outperforms not only off-the-shelf machine learning methods but also the average return of major equity investment funds in the last fourteen years.

RIC-NN: A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy