RT Journal Article SR Electronic T1 For Style Factors, One Size Does Not Fit All JF The Journal of Investing FD Institutional Investor Journals SP 127 OP 137 DO 10.3905/joi.2017.26.4.127 VO 26 IS 4 A1 Melissa R. Brown YR 2017 UL https://pm-research.com/content/26/4/127.abstract AB Although the proliferation of “smart beta” products using various style factors makes them seem new, many of these factors have been used in portfolio construction and risk management for decades. This article examines the historical performance of style risk factors to show that 1) their returns vary widely through time, and even those with no long-term return association can have unexpected, outsized returns at times; 2) across geographical regions, the same factor can exhibit quite different returns at the same time; and 3) an investor’s goals need to be considered when deciding which factors are appropriate to use to generate portfolio alpha.TOPICS: Analysis of individual factors/risk premia, portfolio construction