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Factor Olympics Q3 2024

And the winner is…

Nicolas Rabener
10 min read
1 Oct 2024

SUMMARY

  • The losers of last year, ie momentum and low volatility, became the winners of this year
  • Low volatility performed the best, size the worst
  • Smart beta products do not provide the same exposures as market-neutral multi-factor funds

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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