Fund ExplorerIndicesInsightsVideosPricing

Factor Olympics 2017

And the winner is…

Nicolas Rabener
10 min read
2 Jan 2018

SUMMARY

  • 2017 was a positive year for most factors
  • Quality, Growth and Momentum showed the strongest performance
  • Value, Dividend Yield and Size generated negative returns

INTRODUCTION

We present the performance of seven well-known factors on an annual basis for the last 10 years and the full-year 2017. It is worth mentioning that not all factors have strong academic support, e.g. Growth lacks a long-term track record of positive excess returns; however, is still a widely-followed investment style.

METHODOLOGY

The factors are created by constructing long-short beta-neutral portfolios of the top and bottom 10% of stocks in the US, Europe and Japan and 20% in smaller stock markets. Portfolios rebalance monthly and include 10bps of transaction costs. 

FACTOR OLYMPICS (LONG / SHORT): GLOBAL

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.