Factor Olympics 1H 2024

And the winner is…

July 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • The losers of last year, ie momentum and low volatility, became the winners of this year
  • Momentum performed the best, size the worst
  • Long-short multi-factor products have generated positive excess returns


We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of positive excess returns across market cycles and asset classes.


Our factors are created by constructing long-short beta-neutral portfolios of the top and bottom 30% of stocks. Only stocks with a minimum market capitalization of $1 billion are included. Portfolios rebalance monthly and transactions incur 10 basis points of costs.


The table below shows the long-short factor performance for the last 10 years ranked top to bottom. The global series is comprised of all developed markets in Asia, Europe, and the US. Aside from displaying the factor performance, the analysis highlights the significant factor rotation in terms of profitability from one year to the next, highlighting the benefits of diversified exposure.

We observe a continuation of last year’s trends in factor performance for the value and size factors, but also a significant rotation of momentum and low volatility going from the worst- to the best-performing factors in the first half of 2024.

Over the last decade, the quality and low volatility factors exhibited the highest performance consistency with positive returns in eight out of ten years, while the size factor generated negative returns in nine out of ten years. Having said this, these relationships do not hold over the long-term and factor rotation is rather the norm than the exception.

A theoretical portfolio providing equal-weighted exposure to all five factors would have generated 1.0% year-to-date.