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...
by Nicolas Rabener | Nov 15, 2017 | Uncategorized
Quant Strategies in the Cryptocurrency SpaceFactor Investing in the Wild West of Financial Markets November 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYCryptocurrencies have reached a market capitalisation of > $150bnBacktesting quantitative...
by Nicolas Rabener | Nov 6, 2017 | Uncategorized
Hedge Fund Factor Exposure & AlternativesAlternatives to Alternative Investments? November 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equity hedge fund returns have been disappointing over the last 14 years An exposure analysis shows no...
