Intersectional vs Sequential Multi-Factor Models

And the winner is?

INTRODUCTION

Pursuing factor investing is a bit like crafting the perfect dish: it requires a solid base, a careful balance of salty and sweet, and just the right hint of umami. In the world of stock selection, this translates to identifying stocks that outperform the market, aren’t overly expensive, exhibit high-quality traits, and maintain below-average volatility. As in cooking, achieving this blend is no easy task.