by Nicolas Rabener | Sep 16, 2024 | Uncategorized
Factor Construction with Different Lookbacks Does the lookback matter for stock selection? September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively quant strategies should benefit from new information and shorter lookbacks However,...
by Nicolas Rabener | Sep 9, 2024 | Uncategorized
Smart Beta ETF Construction: High versus Low Factor Exposures Portfolio construction matters September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor portfolios can be structured to offer high or low factor exposures Portfolio concentration...
by Nicolas Rabener | Sep 2, 2024 | Uncategorized
Outperformance via Leverage Active managers versus leveraged ETFs September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Active fund managers have failed to generate outperformance Theoretically, investors could use leveraged ETFs to generate...
by Nicolas Rabener | Aug 26, 2024 | Uncategorized
Factor Timing via Market Momentum Does it work? August 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Theoretically, investors allocate to risky stocks when bullish and defensive ones when bearish A simple stock market momentum model does not...
by Nicolas Rabener | Aug 19, 2024 | Uncategorized
Combining Smart Beta Funds May Not Be Smart What happens if you add positive and negative exposures to the same factors? August 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta funds offer diverse factor exposures When combined in a...
