Multi-Style Global Equity Investing: A Statistical Study on Combining Fundamentals, Momentum, Risk, and Valuation for Improved Performance

17 Pages Posted: 29 Aug 2014

Multiple version iconThere are 2 versions of this paper

Date Written: August 1, 2014

Abstract

Factor exposures exhibit alpha across countries, not just within countries, and momentum and valuation factors generate the greatest outperformance. These factors exhibit low correlations to each other, creating valuable diversification opportunities for portfolio managers. Long-only multi-style portfolios that use fundamental, momentum, risk, and valuation factors significantly improve absolute and risk-adjusted performance. Long/short multi-style portfolios substantially outperform the long-only benchmark on a risk-adjusted basis.

Keywords: factor exposures, momentum, risk, valuation, diversification

JEL Classification: G10, G11

Suggested Citation

Garff, David, Multi-Style Global Equity Investing: A Statistical Study on Combining Fundamentals, Momentum, Risk, and Valuation for Improved Performance (August 1, 2014). Journal of Investment Consulting, Vol. 15, No. 1, 12-26, 2014. Available at SSRN: https://ssrn.com/abstract=2480181

David Garff (Contact Author)

Accuvest Global Advisors ( email )

3100 Oak Road #380
Walnut Creek, CA 94526
United States
925.930.2882 (Phone)
925.886.8787 (Fax)

HOME PAGE: http://www.accuvest.com

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