A comprehensive examination of long-only factor investment strategies for the Korean stock market is presented. Negative exposures to unintended factors that detract from the expected factor risk premium are identified. These constituents with large negative exposures are then removed from the factor portfolio that establishes substantial performance improvement in factor-based investing. Results show that risk premia exist for the size, value, momentum, profitability and low risk factors in the Korean market with the size factor producing the largest return.

Multifactor portfolios based on the two prevalent approaches are also investigated. One is based on mixing portfolios and the other is based on combining signals with the latter often perceived as the more effective approach. Our results indicate that if negative exposures are shaved off in the portfolios, then simply mixing these portfolios can provide superior return performance than the combining signals approach.

介绍了对韩国股票市场多头因素投资策略的全面研究。确定了不利于预期因素风险溢价的意外因素的负面风险。然后，将这些负风险敞口较大的成分从因子投资组合中删除，从而显着提高基于因子的投资的绩效。结果表明，在韩国市场中存在大小，价值，动量，获利能力和低风险因素的风险溢价，而规模因素产生的回报最大。

还研究了基于两种流行方法的多因素投资组合。一种基于混合投资组合，另一种基于结合信号，后者通常被认为是更有效的方法。我们的结果表明，如果减少了投资组合中的负风险，那么与组合信号方法相比，简单地混合这些投资组合可以提供更高的回报率。