The performance gap between the best and worst performing factors over the past 12 months reached roughly 60 percentage points. That is more than three times the 20-year average of about 17 percentage points. Enhanced value led the outperformance, while minimum volatility lagged. The remaining factors fell between the two. 

So what should investors take from this? The story is not which factor won — but that factor selection has mattered more over the past year than at any point in the last two decades. When performance dispersion is this wide, relying on a single factor can concentrate outcomes. Combining multiple factors may help diversify them.