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Factor Olympics Q3 2025

And the winner is…

Nicolas Rabener
10 min read
6 Oct 2025

SUMMARY

  • The momentum factor increased its leadership position
  • The low volatility factor moved from second-best to worst performance
  • Market-neutral factor returns continue to be more attractive than long-only excess returns

INTRODUCTION

We present the performance of well-known factors year-to-date as well as over the last decade. We have started to include the growth factor, which, according to academic research, has generated negative returns over the long term, but is a widely followed investment style.

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 are rebalanced monthly, and transactions incur a 10-basis-point cost. Stocks are selected on the following metrics:

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