When we deal with a diversified multi-factor model, are we implying that we are holding many securities as well in our portfolio, or does it just mean that our model is exposed to many factors such as market, size, liquidity, and so forth?
Holding many securities may just expose you to 1 factor (unlikely but possible) so I’d interpret a multi factor model as exposure to several factors and nothing more.
I found my answer and I think you are not completely correct. Based on the curriculum, most diversified multi-factor models are exposed to many factors and also many stocks. They have a low concentration among securities
Low correlation among factors