Value
Cheap vs. expensive on price-to-fundamentals (earnings, book, sales, cash flow).
FACTOR RESEARCH
Factor performance: equity curves of the classic factors.
A research illustration of how the well-known academic equity factors (value, momentum, quality, low volatility and size) have behaved on the Russell 1000 since 2000, shown long-only and long-short and indexed to 100. The data is daily and refreshes weekly. 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. Use the toggles to switch view, the legend to isolate a factor, and hover for the index level on any date.
AS OF 2026-08-19 · UPDATED WEEKLY
Source: Portfolio123 · Universe: Russell 1000 · Frequency: Daily · Long-short: Long strategy + short strategy, rebalanced monthly (weights 1/1) · Indexed to 100 · As of 2026-08-19.
FACTOR RETURNS
Returns by timeframe.
The equity curves above, summarized as period returns. Use the toggle to switch between the long-only and the long-short series. Every period ends at the latest data point.
Total return of each simulated factor curve over the period, ending the latest data point. The inception column is annualized. Research illustration only. These are not investment products, and the content of this page does not constitute investment advice. Simulated and past performance is not indicative of future results.
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).
ABOUT THIS DATA
Common questions.
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What do these factor performance charts show?
Equity curves of the five classic academic equity factors (value, momentum, quality, low volatility and size) on the Russell 1000 universe, shown long-only and long-short and indexed to 100. They are simulated research illustrations, not investment products. -
What does indexed to 100 mean?
Every curve starts at an index level of 100 at the beginning of the selected window. The chart shows how that index level evolves over time, so factors can be compared on the same scale. -
How often is the factor data updated?
Weekly. The series come from Portfolio123 strategy simulations with daily resolution, with history back to the year 2000. -
Can I invest in these factor portfolios?
No. The curves are research and educational illustrations only. They are not tradeable, they are not investment products, and the content of this page does not constitute investment advice.
KEEP READING
The methodology behind the curves.
Questions about this research?
Discuss the research in a free 45-minute introductory consultation.
Request an introductory consultationOr write to: c.morales@quantsolvings.com