TY - JOUR T1 - The Characteristics of Factor Investing JF - The Journal of Portfolio Management SP - 69 LP - 86 DO - 10.3905/jpm.2019.45.3.069 VL - 45 IS - 3 AU - David Blitz AU - Milan Vidojevic Y1 - 2019/02/28 UR - https://pm-research.com/content/45/3/69.abstract N2 - In this article, the authors dissect the realized performance of factor-based equity portfolios using a characteristics-based multifactor return model. They show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are suboptimal because they ignore the possibility that these stocks may be unattractive from the perspective of other factors. The authors also show that differences in performance between (1) integrated and mixed-sleeve multifactor portfolios, (2) small-cap and large-cap factor portfolios, and (3) equal and value-weighted factor portfolios can be fully attributed to the differences in their factor characteristics. They conclude that efficient factor investing requires an understanding of how factor characteristics drive portfolio returns.TOPICS: Factor-based models, portfolio construction, in portfolio management ER -