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Factor Olympics Q2 2021 

And the winner is…

Nicolas Rabener
10 min read
5 Jul 2021

SUMMARY

  • The Q1 2021 factor rotation into Value and Size has reversed
  • Value is the only factor with positive performance in 1H 2021
  • Momentum has generated the most negative returns

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 (read Factor Olympics Q1 2021). 

METHODOLOGY

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