Momentum beats value.
The blend of the two beats momentum.
0.79
The Sharpe of a half value, half momentum blend. Momentum alone manages 0.50, value just 0.29. The mix clears both, and not by a whisker.
A friend told me he had chosen his factor and moved on. Momentum, because its backtest scored higher than value's. Reasonable. Then I lined up the blend of the two he had just ranked. It scored higher than the one he picked. Not a compromise between them. Higher than the stronger of the two on its own. The reason is the least intuitive number in the whole exercise.