Factor Valuations: Current vs Historical

Factor Valuations: Current vs Historical  What’s cheap, what’s expensive? July 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Some factors are trading at historically low valuations Cheap stocks are cheap, high momentum and profitable...

Factor Olympics 1H 2025

Factor Olympics 1H 2025 And the winner is… July 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Only momentum generated meaningful excess returns year-to-date Value and small-cap stocks underperformed Market-neutral factor returns continue to be...

Factor Optimization via ETFs

Factor Optimization via ETFs Is a value ETF necessary to gain exposure to the value factor? June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor exposures can be acquired from various sources For example, energy stocks are cheaper than stocks...

The Pitfalls of Portfolio Optimization

The Pitfalls of Portfolio Optimization Beware of the man selling high Sharpe portfolios June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sharpe ratio-optimized multi-asset portfolios deteriorate significantly out-of-sample Targeting volatility...

Evaluating Metrics for Fund Selection

Evaluating Metrics for Fund Selection Morningstar vs Lipper vs S&P Capital IQ… June 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The most popular fund selection metrics have no predictive power Unsurprisingly, fees matter Fund selection...