PT  - JOURNAL ARTICLE
AU  - Erik Hjalmarsson
TI  - Portfolio Diversification Across Characteristics
AID  - 10.3905/joi.2011.20.4.084
DP  - 2011 Nov 30
TA  - The Journal of Investing
PG  - 84--88
VI  - 20
IP  - 4
4099  - https://pm-research.com/content/20/4/84.short
4100  - https://pm-research.com/content/20/4/84.full
AB  - 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