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Good Diversification is Never Wasted: How to Tilt Factor Portfolios with Sectors

Ariane Szafarz and Marie Brière

No 19-014, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: Using large-cap exchange-traded funds (ETFs), this paper provides guidance onenhancing the performance of long-only factor portfolios through sector-based blending. The blending method builds ETF portfolios that optimize the factor exposure of sectors. We use the original factors of Fama and French asbenchmarks. The results show that blended portfolios combine the diversification benefits of sector investing with the risk premia of factor investing, and so constitute a promising extension of pure factor ETFs.

Keywords: Portfolio management; asset allocation; factor; industry; sector; crisis (search for similar items in EconPapers)
JEL-codes: G11 C61 E44 G01 (search for similar items in EconPapers)
Pages: 14 p.
Date: 2019-05-28
New Economics Papers: this item is included in nep-mac
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Journal Article: Good diversification is never wasted: How to tilt factor portfolios with sectors (2020) Downloads
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