Factor Performance 2010-2019: A Lost Decade?

14 Pages Posted: 20 Apr 2020

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Date Written: March 27, 2020

Abstract

The factors in the widely used Fama-French model experienced a negative average return over the 2010-2019 period. Perhaps surprisingly, such a lost decade is not unprecedented in history, as factor performance in the 2010s is, in fact, remarkably similar to factor performance in the 1990s. By contrast, many other factors did deliver a positive premium over the past decade. These factors include low risk, price momentum, earnings momentum, analyst revisions, seasonals, and short-term reversal. Thus, there appears to be a clear dichotomy in recent factor performance: while generally accepted factors struggled, various factors that are considered to be inferior or redundant remained effective.

Keywords: factor investing, factor premiums, smart beta, value, momentum, quality, low risk, low volatility, asset pricing, market efficiency, Fama-French model

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David, Factor Performance 2010-2019: A Lost Decade? (March 27, 2020). Available at SSRN: https://ssrn.com/abstract=3562242

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

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