Correlations
A recurring finding in the replication literature is that the factor zoo has far less variety than its size suggests. Many “new” factors are small variations on an old one, and once you put their return streams side by side the redundancy is obvious. Below is the correlation matrix of the 18 monthly long-short series over their common window, Jul 1963–Jul 2026.
Different names, nearly the same bet.
Genuine diversifiers — they hedge each other.
The practical reading: if you already hold value, adding a second value ratio does almost nothing for you. The combinations that actually diversify are the ones in the right-hand column — most famously value and momentum, which have hedged each other for a century. The composite builder lets you see how much a spread of low-correlation signals improves the Sharpe ratio over any one of them alone.