The top tile never sits still.
2020
2021
2022
2023
2024
2025
#1
Mom+22
Val+28
Val+14
Size+21
Mom+24
Val+17
#2
Qual+18
Size+25
LoVol+11
Mom+19
Size+13
Qual+13
#3
LoVol+8
Qual+12
Qual+4
Qual+15
Qual+11
LoVol+10
#4
Size+4
Mom+10
Size-2
LoVol+7
Val+9
Size+8
#5
Val-5
LoVol+9
Mom-8
Val+6
LoVol+6
Mom+5
Buy each year's leader and hold it the next year, and you compound to +58 pct over five years. Just hold all five equal weight, rebalanced, and you land +72 pct. On Rs 10L that gap is Rs 1.38L. Last year's number one repeated as this year's number one exactly once in five tries.
Cliff Asness called factor timing a siren song in 2016. Trailing return is the one signal almost everyone uses to pick a factor, and it is close to useless. Momentum led 2020 then sat last by 2022. Value sat last in 2020, led 2021, then bottomed again by 2023.