There has been growing interest in factor exposures as well as an increased number of publications advocating for the combination of different factor exposures in a single multi-strategy portfolio.

In this paper, we present two strategic multi-factor equity portfolios (Information ratio and Sharpe ratio portfolios) that combine four well-documented return sources: Value, Momentum, Quality and Low volatility designed to meet two distinct objectives. Each framework moves away from single-point estimates and captures the high-level relationships of return sources through a ranking approach.

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