Lost all photos, messages, contacts etc. restoring iPhone backup?

Yesterday afternoon I had succesfully made a complete backup of my iPhone using iTunes and I thought this saves everything on my phone, including contacts, apps, photos, messages etc. I then restored it to factory settings because I needed more space on my phone and afterwards restored from the backup I made yesterday. All my apps redownloaded, but when I went to check my messages I saw that they weren't there, neither were my photos, contacts, notes, nothing. Can someone help me with this? Was I supposed to lose everything? I thought backing up saves a copy of my phone onto my computer. Is there a way to retrieve this?