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...
by Nicolas Rabener | Aug 12, 2024 | Uncategorized
U.S. versus International Quality Stocks Why should investors get compensated for holding high-quality stocks? August 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY U.S. quality stocks have not outperformed or provided less risk than the market...
by Nicolas Rabener | Aug 5, 2024 | Uncategorized
What Equity Factor Is Best Combined with Managed Futures? The one with the lowest correlation to CTAs? August 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Managed futures and market-neutral multi-factor portfolios often provided similar risk...
by Nicolas Rabener | Jul 29, 2024 | Uncategorized
Profitability & Leverage of U.S. Sectors How concerned should investors be about rising interest rates & corporate defaults? July 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There were divergent trends in profitability and leverage across...
