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Factor Olympics 2025

And the winner is…

Nicolas Rabener
10 min read
5 Jan 2026

SUMMARY

  • Momentum was the best, and low volatility was the worst-performing factor
  • Long-short factor investing generated strong excess returns
  • Long-only, smart beta factor investing did not

INTRODUCTION

We present the performance of well-known factors for 2025 as well as over the last decade. We have started to include the growth factor, which, according to academic research, has generated negative long-term returns but is a widely followed investment style.

METHODOLOGY

Our factors are constructed from 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 are rebalanced monthly, and transactions incur a 10-basis-point cost. Stocks are selected on the following metrics:

  • Value: A combination of price-to-earnings and price-to-book multiples

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