Most factor investors are trading the wrong thing.
You found a signal. You want exposure. So you sort stocks, go long the top quartile, short the bottom... and call it a day.
The problem you'll face is that the "value portfolio" isn't pure value. It's value + whatever other systematic risks happen to be correlated with cheap stocks.
You've introduced unwanted bets to your signal. Here's how to actually trade factors and not proxies for them.
(I'm going to try something new where the I'll grant free access to 10 random users who retweet and comment *anything* at the end of the hour!)
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