Factors With Style

The authors document significant spreads in style factors-value, size, quality, momentum, and low volatility-in each of the style box categories. This is also true even for the value and small size factors, which are reflected in the original definition of the style box framework. Some single factors stay within a given style box, like quality in Blend, while other factors drift across style boxes, like momentum and even the size factor! They build multifactor portfolios within each style box, thus giving access to five style factors that can stay within a style box category, and the portfolios had information ratios of about 0.8 over June 2003 to December 2020.