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Factor Olympics Q1 2025

And the winner is…

Nicolas Rabener
10 min read
1 Apr 2025

SUMMARY

  • Momentum and low volatility maintain their winning streak
  • Value rebounded from negative to positive, while quality moved in the opposite direction
  • Several market-neutral multi-factor funds have hit all-time highs

INTRODUCTION

We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of positive excess returns across market cycles and asset classes.

METHODOLOGY

Our factors are created by constructing 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 rebalance monthly and transactions incur 10 basis points of costs.

FACTOR OLYMPICS: GLOBAL EXCESS RETURNS

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