The blend was built to smooth the ride and sharpen the return. It did neither especially well. The teardown takes it apart.

The pitch for combining value, quality and momentum is that they rarely stumble together, so the blend should ride more smoothly than any one alone. It is a good theory. The windows do not support it.

The ride it was supposed to smooth

One bar for every start month. If three uncorrelated edges were truly cancelling each other's bad spells, the single year swings should have been tame. They were not: a year in the blend still ran from roughly a 45% loss to a 163% gain depending only on when you started, a spread as wide as the single factor screens beside it. What actually calmed the outcome was not the mix of factors but the passage of time, three years narrowed the range sharply, five years turned every window positive. Holding period did the smoothing that diversification of factors was supposed to.

No shelter from the weather

A blend of complementary factors is also meant to be more all weather, steadier across the cycle than a pure value or pure momentum bet. Split the decade by macro backdrop and that promise is thin too: the blend leans on the same up cycle in growth and the same easing in rates that every risk on strategy here leans on. It is a little steadier than raw momentum, but it buys that steadiness by diluting the return, not by finding genuine shelter. There is no free lunch hiding in the average.

Three factors versus one index, cut for cut

Set theory aside and just count. Pick any month, hold, and how often did the blend beat a plain index fund?

Respectable, but notice these five year hit rates sit below the single factor winners we have tested, the cash yield and value composite screens cleared the index far more reliably. Three edges averaged together did not just cap the return, they lowered the odds of beating the market compared with backing one edge properly.

What it held, and the worst it would have handed you

Two last checks make the risk concrete: what the basket was actually made of, by company size, and, instead of the single drawdown path, the worst fall you would have suffered no matter which month you started and held for five years.

Combine by sequence, not by sum

The failure here is not the factors, it is the arithmetic. A sum of ranks treats a stock that is brilliant on one measure and poor on another exactly like a stock that is mediocre on all three, and then prefers the mediocre one because it never scores badly. So the blend systematically owns the compromise and avoids the conviction. The fix is to stop averaging. Combine the factors in sequence instead: use one as a gate, quality to throw out the junk, then rank the survivors by another, cheapness or momentum, so a strong signal is never diluted by a weak one. Or simply hold fewer factors, sharply. The idea of combining edges is sound; a sum of ranks is the bluntest possible way to do it.

So we took it to Krest, and ran it through the whole test.