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Factor Olympics Q1 2020

And the Winner is…

Nicolas Rabener
10 min read
6 Apr 2020

SUMMARY

  • Beta-neutral long-short factors were largely negative during Q1 2020
  • Momentum & Quality are leading the performance leaderboard
  • Investors were most negative on small cap and cheap stocks

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 2019).

METHODOLOGY

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