Factor Cycles and Patience

Factors can underperform for years, testing even disciplined investors. Here is how long factor droughts have lasted, what a real 20-year small-cap record looks like and how to decide whether to stick with a factor.

Long droughts

Every factor has had long losing stretches. Value lagged growth for much of the 2010s. Small caps lagged large caps for most of the past two decades in our price data. Momentum crashed in 2009. An investor who judged any factor after three to five bad years would likely have given up.

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