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Factor Olympics 2023 Q3

And the winner is…

Nicolas Rabener
10 min read
2 Oct 2023

SUMMARY

  • Most popular factors generated negative excess returns year-to-date
  • Quality stocks performed best, low-risk stocks worst
  • Somewhat surprisingly, long-short multi-factor products produced positive 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 RETURNS

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