To measure the value factor, I used several financial statement measures, but the best performance is from price-to-book. I looked at dividend yield and volatility measures such as historical price volatility and beta. Although these factors performed positively, they clearly underperformed value. The most surprising result of the analysis to me was the underperformance of the growth factor. Revenue growth actually had a negative q-spread. This means stocks with faster growing revenue underperformed stocks with slower or negative revenue growth.
There are going to be qualitative explanations for these results which I am not going to go into here, but it's good to keep the facts in mind when listening to the pundits on TV.