{'fraction_non_alphanumeric': 0.02100840336134454, 'fraction_numerical': 0.0, 'mean_word_length': 5.682242990654205, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
Long-Only Style Investing: Don't Just Mix, Integrate

We investigate two popular approaches to long-only style investing that are often considered as potential starting points for smart beta investors: the “portfolio mix” that builds a style portfolio from standalone style portfolios and the “integrated portfolio” that integrates styles directly in the portfolio construction process. Our key finding is that integrating styles is a much more effective way to harvest long-only style premia. Compared to the portfolio mix, the integrated portfolio substantially improves returns and information ratio by avoiding stocks with offsetting style exposures and including stocks with balanced positive style exposures.