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Factor Olympics 2019

And the Winner is…

Nicolas Rabener
10 min read
1 Jan 2020

SUMMARY

  • As in 2018, Low Volatility produced the best and Value the worst performance
  • Value did not recover significantly further after a short rally in Q3 2019
  • However, Momentum broke its upward trajectory since then

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 highlights positive excess returns across market cycles and asset classes. Other strategies like Growth might be widely-followed investment styles, but lack academic support and are therefore excluded (read Factor Olympics Q3 2019).

METHODOLOGY

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