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%.
Acknowledgment
This work was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2020R1F1A1A0106053811).
Disclosure statement
No potential conflict of interest was reported by the author.
Correction Statement
This article has been corrected with minor changes. These changes do not impact the academic content of the article.