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Factor Olympics 2018

And the Winner is…

Nicolas Rabener
10 min read
31 Dec 2018

SUMMARY

  • 2018 was negative for classic multi-factor portfolios
  • Low Volatility generated the best and Value the worst performance
  • Factor performance was homogenous across global markets

INTRODUCTION

We present the performance of five well-known factors on an annual basis for the last 10 years, including 2018. We only present factors where academic research highlights positive excess returns across market cycles. Other factors like Growth might be widely-followed investment styles, but lack academic support and are therefore excluded (read Factor Olympics Q3 2018).

METHODOLOGY

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