by Nicolas Rabener | Aug 13, 2017 | Uncategorized
Smart Beta vs Factor ReturnsCousins, not Twins August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYSmart beta ETFs are based on factor investing researchExcess returns from smart beta ETFs are different from factor returnsInvestors need to be aware...
by Nicolas Rabener | Aug 7, 2017 | Uncategorized
Equity Factors In JapanLand of the Rising Alpha? August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Japan has unique characteristics from an economic perspective Factor performance in Japan mirrors global factor performance Debt & demographics...
by Nicolas Rabener | Jul 25, 2017 | Uncategorized
Factors & Volatility-Based Risk ManagementDifferent Factor, Different Risk Management? July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYA common approach to factor allocation is to scale exposure by factor volatilityThis approach improves the...
by Nicolas Rabener | Jul 20, 2017 | Uncategorized
Quality Factor: How To Define It?Same, Same, but Different? July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYDifferent Quality definitions result in dramatically different return profilesQuestionable if there is structural alpha in the Quality...
by Nicolas Rabener | Jul 14, 2017 | Uncategorized
Low Volatility Factor: High ValuationLow Vol Does Not Need to Have Low Vol July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Low Volatility factor has generated stellar abnormal returns over the last decadesCurrent factor valuations...
