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Factor Olympics Q1 2026

And the winner is…

Nicolas Rabener
10 min read
5 Apr 2026

SUMMARY

  • Value was the best, and growth the worst-performing factor
  • Long-short & smart beta factor investing generated strong excess returns
  • Rare to see all popular factors generating positive returns

INTRODUCTION

We present the performance of well-known factors for the first quarter of 2026 and 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 widely followed as an 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:

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