Factor Olympics Q3 2021 

And the winner is…

October 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • 2021 is shaping up as a year of undifferentiated factor performance 
  • Value is the only factor with positive performance in year-to-date 2021
  • The Size factor has generated the most negative returns


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 Q2 2021). 


Our factors are created by constructing long-short beta-neutral portfolios of the top and bottom 10% of stocks in the US, Europe, and Japan, and 20% in smaller markets. Only stocks with a minimum market capitalization of $1 billion are included. Portfolios rebalance monthly and transactions incur 10 basis points of costs. 


The table below shows the long-short factor performance for the last 10 years ranked top to bottom. The global series is comprised of all developed markets in Asia, Europe, and the US. Aside from displaying the factor performance, the analysis highlights the significant factor rotation in terms of profitability from one year to the next, highlighting the benefits of diversified exposure (try Finominal’s Alpha Analyzer for a factor exposure analysis).

Unfortunately, even a portfolio diversified across the academically recognized factors would have generated a loss in 2021, albeit a minor one, similar to previous years. The last year where a multi-factor portfolio generated a meaningful positive return was in 2017, which is a lifetime away for a fund manager.