Factor Olympics 2024

Factor Olympics 2024 And the winner is… January 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Momentum performed the best, size the worst Smart beta...

Quality in Small versus Large-Cap Stocks

Quality in Small versus Large-Cap Stocks Quality stocks outperform, right? December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Adding quality filters significantly improves small-cap investing However, the opposite occurs in the large-cap space...

Improving Smart Beta Attribution Analysis II

Improving Smart Beta Attribution Analysis II Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Attribution analysis is important for understanding the risk and return drivers of a...

Improving Smart Beta Attribution Analysis

Improving Smart Beta Attribution Analysis Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Return contribution analysis helps understand the different return drivers and measure...