by Nicolas Rabener | Sep 13, 2018 | Uncategorized
Short-Term Momentum in Equity Factors Does Short-Term Performance Chasing Work? September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYShort-term momentum persists in common equity factorsThe persistence is strong in Value and Dividend YieldHowever,...
by Nicolas Rabener | Sep 1, 2018 | Uncategorized
Volatility, Dispersion & Correlation – Friends or Foes? Reading Stock Market Tea Leaves. September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Higher volatility & dispersion imply higher stock market risks The relationship between...
by Nicolas Rabener | Aug 29, 2018 | Uncategorized
Chasing Mutual Fund Performance Follow the Momentum? September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Mutual funds exhibit momentum when measured by their one-year performance Momentum disappears when more reasonable fund selection criteria...
by Nicolas Rabener | Aug 27, 2018 | Uncategorized
Factor MomentumChasing Factor Performance August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Momentum strategy can be applied to stocks, sectors, countries and factorsFactor momentum shows positive excess returns across regionsHowever,...
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...
