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Factor Olympics Q3 2020

And the winner is…

Nicolas Rabener
10 min read
1 Oct 2020

SUMMARY

  • Momentum & Quality are leading the performance scoreboard in Q1-3 2020
  • Value & Size generated negative returns, like in recent years, and Low Volatility ended a 10-year fantastic run
  • 2020 is shaping up as a year of highly dispersed factor returns

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 supports the existence of positive excess returns across market cycles and asset classes. Strategies like Growth might be widely-followed investment styles, but lack academic support to be considered a factor and are therefore excluded (read Factor Olympics 1H 2020).

METHODOLOGY

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