Value
Cheap vs. expensive on price-to-fundamentals (earnings, book, sales, cash flow).
FACTOR RESEARCH
Equity curves of the classic equity factors.
A research illustration of how the well-known academic equity factors (value, momentum, quality, low volatility and size) have behaved over time, shown long-only and long-short and indexed to 100. This is part of our ongoing factor research. It is educational material, not an investment product.
EQUITY CURVES
Long-only and long-short, indexed to 100.
Each line is one factor. Switch between the long-only view (the high-ranked basket) and the long-short view (high-ranked minus low-ranked). Use the legend to isolate a factor, and hover for the index level on any date.
Source: Portfolio123 · Universe: Russell 1000 · Frequency: Daily · Long-short: Long strategy + short strategy, rebalanced monthly (weights 1/1) · Indexed to 100 · As of 2026-06-29.
WHAT THESE FACTORS ARE
The five factors, briefly.
Momentum
Recent relative strength, measured over the trailing 12 months while skipping the most recent one.
Quality
Profitable, stable, well-financed businesses (ROE, accruals, leverage).
Low Volatility
Lower-risk stocks that have historically not given up return, known as the low-volatility anomaly.
Size
Smaller companies vs. larger ones (the size premium).
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