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

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