The objective of this article is to illustrate how key choices of investors in the implementation of common Equity Alternative Risk Premia (ARP) strategies affect their performance characteristics. The analysis focuses on the equity value strategy and highlights how its performance is robust to...

Although academics and practitioners frequently refer in their work to equity value investing, no consensus exists as to what this style exactly encompasses. For a wide range of 3,168 alternative implementations (design choices) of what could all constitute value portfolios, the authors document...

We analyse the relative advocacy of competing approaches for the combination of investment signals in long/short portfolios. Specifically we study if it is preferable to (1) calculate weights for individual signals and then combine those weights (Mixed); or (2) combine signals and then calculate...