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Factor Olympics 1H 2019

And the Winner is…

Nicolas Rabener
10 min read
1 Jul 2019

SUMMARY

  • Most factors generated positive returns in 1H 2019
  • Low Volatility produced the best and Value the worst performance
  • Factor performance is comparable in the US & Europe, but markedly different in Japan

INTRODUCTION

We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess returns across market cycles and asset classes. Other strategies like Growth might be widely-followed investment styles, but lack academic support and are therefore excluded.

METHODOLOGY

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