Although factor premiums originate in both long and short legs of factor portfolios, we found that (1) most added value comes from the long legs, (2) the long legs offer more diversification than the short legs, and (3) the performance of the short legs is generally subsumed by that of the long legs. These results are robust over size, time, and markets and cannot be attributed to differences in tail risk. We also found that the claim that the value and low-risk factors are subsumed by the new (post-2015) Fama–French factors does not hold for the long legs of these factors. Disclosure: The authors disclose that they are employed by Robeco, a firm that offers various investment products. The construction of these products may, at times, draw on insights related to this research. No other person or party at Robeco except the authors had the right to review this article prior to its circulation. The views and results presented in this article were not driven by the views or interests of Robeco and are not a reflection of its points of view. Editor’s Note Submitted 21 November 2019 Accepted 29 May 2020 by Stephen J. Brown This article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Malcolm Baker and one anonymous reviewer were the reviewers for this article.

中文翻译：

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当股票因子减少空头时

尽管因子溢价来自因子投资组合的多头和空头，但我们发现（1）大多数附加值来自长腿，（2）长腿比短腿提供更多的多样化，以及（3）短腿通常被长腿所包含。这些结果在规模、时间和市场上都是稳健的，不能归因于尾部风险的差异。我们还发现，价值和低风险因素被新的（2015 年后）Fama-French 因素所包含的说法并不适用于这些因素的长腿。披露：作者披露他们受雇于 Robeco，这是一家提供各种投资产品的公司。这些产品的构建有时可能会借鉴与本研究相关的见解。除了作者之外，荷宝的任何其他人或团体均无权在本文流通前对其进行审查。本文中提出的观点和结果并非由荷宝的观点或利益驱动，也不反映其观点。编者按 2019 年 11 月 21 日提交 2020 年 5 月 29 日接受 Stephen J. Brown 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Malcolm Baker 和一位匿名审稿人是本文的审稿人。编者按 2019 年 11 月 21 日提交 2020 年 5 月 29 日接受 Stephen J. Brown 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Malcolm Baker 和一位匿名审稿人是本文的审稿人。编者按 2019 年 11 月 21 日提交 2020 年 5 月 29 日接受 Stephen J. Brown 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Malcolm Baker 和一位匿名审稿人是本文的审稿人。