Research: Evaluating the Performance and Robustness of Multi-Factor Equity Portfolios i...

Research question: How do multi-factor equity portfolios constructed using value, momentum, and quality factors perform and persist compared to single-factor portfolios in developed markets?

Background & Motivation: Factor investing, which involves constructing portfolios based on systematic risk factors such as value, momentum, and quality, has become a central paradigm in asset pricing and portfolio management. Academic research and institutional practice have shown that these factors can explain cross-sectional returns beyond market beta, influencing modern asset allocation strategies.

Research Gap / Question: While the efficacy of individual factors is well-studied, less attention has been paid to the out-of-sample performance, robustness, and practical implementation of multi-factor portfolios versus single-factor strategies, especially across different market conditions in developed economies.

Approach & Expected Contribution: This project will construct and back-test equity portfolios using value, momentum, and quality factors with publicly available data (e.g., CRSP/Compustat). The study will assess performance, drawdowns, and persistence, employing statistical tests (e.g., Fama-MacBeth regressions, bootstrapping) and robustness checks. The findings are expected to clarify the incremental benefits and limitations of combining factors and inform both academic debates and practical portfolio construction.

Why It Matters: Understanding whether multi-factor portfolios deliver superior risk-adjusted returns and remain robust over time is crucial for investors, asset managers, and policymakers seeking to apply evidence-based strategies in real-world settings.