IDEAS home Printed from https://ideas.repec.org/p/fip/fedgif/986.html
   My bibliography  Save this paper

Diversification across characteristics

Author

Abstract

I study long-short portfolio strategies formed on seven different stock characteristics representing various measures of past returns, value, and size. Each individual characteristic results in a profitable portfolio strategy, but these single-characteristic strategies are all dominated by a diversified strategy that places equal weight on each of the single-characteristic strategies. The benefits of diversifying across characteristic-based long-short strategies are substantial and can be attributed to the mostly low, and sometimes substantially negative, correlation between the returns on the single-characteristic strategies.

Suggested Citation

  • Erik Hjalmarsson, 2009. "Diversification across characteristics," International Finance Discussion Papers 986, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:986
    as

    Download full text from publisher

    File URL: http://www.federalreserve.gov/pubs/ifdp/2009/986/default.htm
    Download Restriction: no
    File URL: http://www.federalreserve.gov/pubs/ifdp/2009/986/ifdp986.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Portfolio management; Stock - Prices;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:986. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.