Daily BriefsQuantitative Analysis

Daily Brief Quantitative Analysis: Factor Olympics 2023 1H and more

In today’s briefing:

  • Factor Olympics 2023 1H


Factor Olympics 2023 1H

By Nicolas Rabener

  • All popular factors generated negative excess returns in 1H 2023
  • The best-performing stocks were small caps, while the lowest-risk stocks fared the worst.
  • Against all expectations, long short multi-factor products generated favorable returns.

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