by Nicolas Rabener | Oct 1, 2024 | Uncategorized
Factor Olympics Q3 2024 And the winner is… October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Low volatility performed the best, size the worst Smart...
by Nicolas Rabener | Sep 23, 2024 | Uncategorized
A Review of Global Macro Mutual Funds Investable, but uninvestable. September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Global macro mutual funds have too much equity exposure High Sharpe ratios do not imply high diversification benefits...
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...
