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Factor Olympics 1H 2025

And the winner is…

Nicolas Rabener
10 min read
1 Jul 2025

SUMMARY

  • Only momentum generated meaningful excess returns year-to-date
  • Value and small-cap stocks underperformed
  • Market-neutral factor returns continue to be more attractive than long-only returns

INTRODUCTION

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.

METHODOLOGY

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.

FACTOR OLYMPICS: GLOBAL EXCESS RETURNS

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