%0 Journal Article %A Erik Hjalmarsson %T Portfolio Diversification Across Characteristics %D 2011 %R 10.3905/joi.2011.20.4.084 %J The Journal of Investing %P 84-88 %V 20 %N 4 %X This article studies long–short portfolio strategies formed on seven different stock characteristics representing various measures of past returns, value, and size. Each individual characteristic results in a profitable portfolio strategy, but these single-characteristic strategies are dominated by a diversified strategy that places equal weight on each of the single-characteristic strategies. The benefits of diversifying across characteristic-based long–short strategies are substantial and can be attributed to the mostly low, and sometimes substantially negative, correlation between the returns on the single-characteristic strategies.TOPICS: Portfolio theory, factor-based models, analysis of individual factors/risk premia %U https://joi.pm-research.com/content/iijinvest/20/4/84.full.pdf