The fourth quarter of 2018 saw a turbulent and disappointing period of factor performances, where all six investment factors delivered negative return spreads. Earnings revisions led the way with an abysmal return spread (-13.5%), while Price Momentum continued to struggle (-7.1%). Interestingly, the cyclical Value factor of Price to Book faired best (-0.9%), while Return on Equity, Dividend Yield and Debt to Equity all fell over the last three months of 2018.