This research paper explores the combination of independent smart beta strategies for enhanced portfolio optimization. The authors introduce an innovative approach that applies smart beta principles in reverse to create a 'bad beta' portfolio that can be shorted, enabling the construction of beta-neutral strategies. They combine two distinct smart beta approaches: a long-short beta-neutral strategy using adaptive boosting classification on momentum indicators, and a minimized volatility portfolio that capitalizes on the low-volatility anomaly where low-volatility stocks historically deliver superior risk-adjusted returns.

The methodology involves monthly rebalancing of these two independent strategies, with the combined approach demonstrating significant performance improvements over individual components. The research shows that while the market neutral component achieved a Sharpe Ratio of 0.61 and the low volatility strategy achieved 0.90 (both exceeding the market benchmark of 0.42), the combined leveraged strategy achieved an even higher Sharpe Ratio of 0.96 in backtesting. Most notably, during six months of live trading, the combined strategy achieved a Sharpe Ratio of 1.35, validating the practical effectiveness of the approach. This work contributes to factor investing literature by demonstrating that strategic combination of independent smart beta approaches can yield superior risk-adjusted returns compared to individual strategies in isolation.