Factor Olympics 2023

And the winner is…

January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • The performance of factors was unexciting and poor in 2023
  • Quality performed the best, low volatility the worst
  • Low-risk and cheap stocks are currently highly correlated


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.

After a great performance in 2022, almost all popular factors generated negative returns in 2023. Only quality stocks, which are defined by a combination of return-on-equity and debt-over-equity, produced a positive return as they had in the previous three years. Low-volatility stocks performed the worst.

Factor Olympics (Long-Short) 2023