Multi Factor Investing: Separate or Combine?

Should you combine your factor exposures—or keep them separate? This video tackles one of the most important debates in factor investing. Whether you're building long-only or long-short portfolios, the way you blend factors like value and momentum could impact your results more than you think.

In this episode, we discuss:
• The difference between integrated vs. mixed (or siloed) factor portfolios
• Why firms like AQR and DFA land on opposite sides of the argument
• Key insights from research papers like “Don’t Just Mix, Integrate”
• Evidence from Jack Vogel’s findings on value and momentum portfolios
• Practical takeaways on concentration, Sharpe ratios, and behavioral benefits

Timestamps:
00:00 – The Coke vs. Pepsi of factor investing
01:28 – The integrated approach (combine!)
05:26 – The mixed approach (separate!)
07:29 – Value and momentum (concentrate!)
08:37 – Outro

Sources:

Fitzgibbons, Shaun, Jacques Friedman, Lukasz Pomorski, and Laura Serban. “Long-Only Style Investing: Don’t Just Mix, Integrate.” The Journal of Investing 26, no. 4 (November 27, 2017): 153–64.2017.26.4.153. https://www.aqr.com/Insights/Research...

Vogel, Jack. "Value and Momentum Investing: Combine or Separate?" Alpha Architect (May 25, 2021). https://alphaarchitect.com/the-best-w...

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