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Factor Olympics Q3 2026

And the winner is…

Nicolas Rabener
10 min read
5 Oct 2026

SUMMARY

  • The momentum factor leads, low volatility lags
  • Similar returns between long-short and smart beta investing
  • Except for value, where betting on cheap stocks has been unprofitable

INTRODUCTION

We present the performance of well-known global equity factors for the first nine months of 2026 and over the last decade. We also include the growth factor, which academic research shows has generated negative long-term returns but remains a widely followed investment style.

METHODOLOGY

We construct our global equity factors from long-short, beta-neutral portfolios of the top and bottom 20% of stocks. The universe of stocks comprises those making up 99% of the total market capitalization. Portfolios are created at the country level with monthly rebalancing, then aggregated into global factor indices using market-capitalization-weighted weights. Stocks are selected on the following metrics:

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