Factor Olympics 2023 1H

And the winner is…

July 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • All popular factors generated negative excess returns in 1H 2023
  • Small caps performed best, low-risk stocks worst
  • Somewhat surprisingly, long-short multi-factor products produced positive 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.

The first half of 2023 can only be described as an annus horribilis as all factors generated negative returns, which represents the worst (half) year over the last decade and an almost complete reversal of 2022 where factor performance was strong and positive for almost all factors. There was no place to hide for investors pursuing factor investing.

Factor Olympics (Long-Short) Global