Factors with Style
Posted: 15 Jul 2020
Date Written: June 1, 2020
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
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