Factors with Style

Posted: 15 Jul 2020

See all articles by Keiko Kimura

Keiko Kimura

BlackRock, Inc - London

Katharina Schwaiger

BlackRock, Inc

Deepika Sharma

BlackRock

Andrew Ang

BlackRock, Inc

Date Written: June 1, 2020

Abstract

We document significant spreads in style factors — value, size, quality, momentum, and low volatility — in each of the style box categories. This is also true even for the value and small size factors, which are reflected in the original definition of the style box framework. Some single factors stay within a given style box, like quality in Core, while other factors drift across style boxes, like momentum and even the size factor! We build multifactor portfolios within each style box, giving access to five style factors that can stay within a style category which have exhibited information ratios over 1.0 over June 2003 to March 2019.

Keywords: factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift

JEL Classification: G11,G12

Suggested Citation

Kimura, Keiko and Schwaiger, Katharina and Sharma, Deepika and Ang, Andrew, Factors with Style (June 1, 2020). Available at SSRN: https://ssrn.com/abstract=3633268 or http://dx.doi.org/10.2139/ssrn.3633268

Keiko Kimura

BlackRock, Inc - London ( email )

Drapers Gardens
12 Throgmorton Ave
London, EC2N 2DL
United Kingdom

Katharina Schwaiger

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Deepika Sharma (Contact Author)

BlackRock ( email )

55 East 52nd Street
New York City, NY 10055
United States

Andrew Ang

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

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