PT  - JOURNAL ARTICLE
AU  - Melissa R. Brown
TI  - For Style Factors, One Size Does Not Fit All
AID  - 10.3905/joi.2017.26.4.127
DP  - 2017 Nov 30
TA  - The Journal of Investing
PG  - 127--137
VI  - 26
IP  - 4
4099  - https://pm-research.com/content/26/4/127.short
4100  - https://pm-research.com/content/26/4/127.full
AB  - Although the proliferation of “smart beta” products using various style factors makes them seem new, many of these factors have been used in portfolio construction and risk management for decades. This article examines the historical performance of style risk factors to show that 1) their returns vary widely through time, and even those with no long-term return association can have unexpected, outsized returns at times; 2) across geographical regions, the same factor can exhibit quite different returns at the same time; and 3) an investor’s goals need to be considered when deciding which factors are appropriate to use to generate portfolio alpha.TOPICS: Analysis of individual factors/risk premia, portfolio construction