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Factor investing: a unified view

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  • Saejoon Kim

Abstract

A unified view of factor investing is presented. By examining the levels of exposure to a set of factors collectively, we construct enhanced factor portfolios from conventional single-factor portfolios that substantially increase factor risk premia consistently for nearly five decades in the US equity data. Detailed comparison between these and multifactor portfolios is conducted, and we find that a form of the latter delivers superior return performance. In particular, we present the outperformance of the signal-blended multifactor portfolio for various return measures over all factor portfolios considered at a statistical significance level of 1%.

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  • Saejoon Kim, 2023. "Factor investing: a unified view," Applied Economics, Taylor & Francis Journals, vol. 55(14), pages 1567-1580, March.
    • Handle: RePEc:taf:applec:v:55:y:2023:i:14:p:1567-1580
    DOI: 10.1080/00036846.2022.2097635
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