RT Journal Article
SR Electronic
T1 Portfolio Diversification Across Characteristics
JF The Journal of Investing
FD Institutional Investor Journals
SP 84
OP 88
DO 10.3905/joi.2011.20.4.084
VO 20
IS 4
A1 Erik Hjalmarsson
YR 2011
UL https://pm-research.com/content/20/4/84.abstract
AB 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