by Nicolas Rabener | Aug 21, 2018 | Uncategorized
How Crowded are Tech Stocks? A Systematic Approach to Measuring Peak Investor Interest August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equity crowding models can be applied to factors and sectors Crowding leads to more frequent drawdowns Tech...
by Nicolas Rabener | Aug 15, 2018 | Uncategorized
Low Volatility, Low Beta & Low CorrelationThere is Magic in Leverage August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Low Volatility, Low Beta and Low Correlation factors are interrelatedLow-risk factors generate attractive risk-adjusted...
by Nicolas Rabener | Aug 13, 2018 | Uncategorized
Factor Exposure: Smart Beta ETFs vs Mutual FundsDo Active Managers Provide Higher Factor Exposure than ETFs? August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can express factor views via smart beta ETFs or mutual funds Some mutual...
by Nicolas Rabener | Aug 6, 2018 | Uncategorized
Momentum VariationsDoes Complexity Beat Simplicity? August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe simplicity of the Momentum factor can be intellectually challengingVarious alternative Momentum versions highlight remarkable similar return...
by Nicolas Rabener | Jul 30, 2018 | Uncategorized
Factors: Shorting Stocks vs the IndexDo Short Stock Positions Contribute to Factor Returns? July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factor investing research is based on long-short stock portfolios Investible risk premia strategies...
