by Nicolas Rabener | Jul 7, 2017 | Uncategorized
Factors & Interest RatesFear Not the Rates… July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are no consistent relationships between Value, Size, Momentum and interest rates Applies to high and low and increasing and decreasing...
by Nicolas Rabener | Jun 27, 2017 | Uncategorized
Factor Olympics: 1H 2017 And the Winner is… July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2017 seems to be a good year for factor exposure as most factors are positiveGrowth, Quality, and Low Volatility are headed for the winners...
by Nicolas Rabener | Jun 26, 2017 | Uncategorized
Momentum Factor: Intra vs Cross-SectorMay the Force Be with You… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intra vs cross-sector Momentum factor profiles look remarkable similar Momentum is like a force that permeates sectors and...
by Nicolas Rabener | Jun 18, 2017 | Uncategorized
Factor Construction: Beta vs $-NeutralityIs Beta Driving Factor Performance? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactors constructed $-neutral didn’t benefit much from beta-exposure from 2000 to 2017Beta-neutrality is only a must...
by Nicolas Rabener | Jun 11, 2017 | Uncategorized
Market & Factor Volatility Mirror, Mirror, on the Wall… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor volatility mirrors market volatility Market volatility is higher than factor volatility Momentum has higher volatility than...
