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Factor Olympics Q3 2019

And the Winner is…

Nicolas Rabener
10 min read
1 Oct 2019

SUMMARY

  • Most factors generated positive returns in Q1-3 2019
  • Low Volatility produced the best and Value the worst performance year-to-date
  • The factor rotation from Momentum into Value in Q3 was short-lived

INTRODUCTION

We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess returns across market cycles and asset classes. Other strategies like Growth might be widely-followed investment styles, but lack academic support and are therefore excluded.

METHODOLOGY

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