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Factor Olympics Q1 2019

And the Winner is…

Nicolas Rabener
10 min read
1 Apr 2019

SUMMARY

  • 2019 has started favorable for factor investors, compared to 2018
  • Low Volatility generated the best and Value the worst performance
  • Factor performance is comparable in the US & Europe, but different in Japan

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 (read Factor Olympics 2018).

METHODOLOGY

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