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Portfolio Diversification Across Characteristics

Erik Hjalmarsson
The Journal of Investing Winter 2011, 20 (4) 84-88; DOI: https://doi.org/10.3905/joi.2011.20.4.084
Erik Hjalmarsson
is a professor at Queen Mary, University of London, School of Economics and Finance in London, UK.
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  • For correspondence: e.hjalmarsson@qmul.ac.uk
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Abstract

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

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Portfolio Diversification Across Characteristics
Erik Hjalmarsson
The Journal of Investing Nov 2011, 20 (4) 84-88; DOI: 10.3905/joi.2011.20.4.084

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Portfolio Diversification Across Characteristics
Erik Hjalmarsson
The Journal of Investing Nov 2011, 20 (4) 84-88; DOI: 10.3905/joi.2011.20.4.084
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