The top-performing factor – by a rather large margin – was “3M Target Price Change %”. Bloomberg defines this as “Percent Change in the Best Target Price over past 3 months. When an analyst jumps out ahead of the pack and cranks his/her target, this puts that stock to the top of the list for this factor. This means that mindlessly following analyst 3-month target price changes was the smartest strategy over the past year from this list.
And the next top-performing factor, “PORT US MOMENTUM”, is another one of those it-can’t-be-that-simple strategies. Bloomberg defines this little gem as the “arithmetic average of weekly return for trailing 52 weeks lagged by two weeks. So basically, you buy what’s been going up for the past year while shorting what’s been declining.