Abstract
The authors investigate two popular approaches to long-only style investing that are often considered as potential starting points for smart beta investors: the portfolio mix that combines allocations to stand-alone indexes for each style, and the integrated portfolio that integrates styles directly in the portfolio construction process. Their key finding is that integrating styles is a much more effective way to harvest long-only style premia. Compared with the portfolio mix, the integrated portfolio substantially improves returns and the information ratio by avoiding stocks with offsetting style exposures and including stocks with balanced positive style exposures.
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