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Factor Olympics: Q3 2017

And the Winner is…

Nicolas Rabener
10 min read
1 Oct 2017

SUMMARY

  • 2017 is on track for a good year for factor exposure as most factors are positive
  • Quality, Growth, and Momentum are headed for the winners podium
  • Value is negative across regions, giving up all of last year’s gains

INTRODUCTION

We present the performance of six well-known factors on an annual basis for the last 10 years and the first three quarters of 2017. It’s worth mentioning that not all factors have strong academic support, e.g. Growth lacks a long-term track record of positive excess returns, however, is still a widely-followed investment style (read Factor Olympics: 1H 2017).

METHODOLOGY

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