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Factor Olympics 2022 

And the winner is…

Nicolas Rabener
10 min read
3 Jan 2023

SUMMARY

  • 2022 is the best year for factor investing over the last decade
  • Value generated the best and size the worst return in 2022
  • Despite the strong returns, investors remain cautious on factor investing

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 (read Factor Olympics Q3 2022).

METHODOLOGY

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