by Nicolas Rabener | Dec 18, 2017 | Uncategorized
Multi-Factor Models 101Top-Down vs Bottom-Up January 2018. Reading Time: 15 Minutes. Author: Nicolas Rabener. SUMMARY Three common approaches for creating multi-factor portfolios are the Combination, the Intersectional and the Sequential models The results from the...
by Nicolas Rabener | Dec 9, 2017 | Uncategorized
Factor Returns: Year-End Calendar EffectsMomentum in December versus Value & Size in January? December 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue & Size generate abnormally large positive returns in January, Momentum negative...
by Nicolas Rabener | Dec 6, 2017 | Uncategorized
Mean-Reversion on Equity Index Level Buy the Dip? Not before the 1970s. December 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYMean-Reversion on index level became profitable post the 1970s, before that Momentum dominatedThe structural shift from...
by Nicolas Rabener | Nov 26, 2017 | Uncategorized
Intersectional Model: Sorting 7 FactorsSearching for Jack of All Trades on the Stock Market December 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Focusing purely on Value is a difficult strategy Sorting by multiple factors improves performance and...
by Nicolas Rabener | Nov 22, 2017 | Uncategorized
Factor Construction: Portfolio ScenariosHow Many Stocks Are Needed to Capture Factor Returns? November 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYMost researchers create factor portfolios by taking the top & bottom 30% of stocks, which results...
