by Nicolas Rabener | May 26, 2025 | Uncategorized
Intersectional vs Sequential Multi-Factor Models And the winner is? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The intersectional and sequential multi-factor models generate comparable results The sequential ordering of factors matters less...
by Nicolas Rabener | May 19, 2025 | Uncategorized
Top vs Bottom-Ranked Factor Portfolios Do you need to own the highest-ranked stocks? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively, factor exposures should be maximized when seeking outperformance While this is true for momentum, it...
by Nicolas Rabener | May 12, 2025 | Uncategorized
Factor Exposure Analysis 115: Measuring International Exposures Should correlated independent variables be avoided? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Variables used in a factor exposure analysis should be uncorrelated However, adding...
by Nicolas Rabener | May 5, 2025 | Uncategorized
Smart Beta ETF vs Customized Factor Portfolios Reducing the risk of conflicting factor exposures May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETFs have multiple factor exposures Combining these in a portfolio leads to factor...
by Nicolas Rabener | Apr 28, 2025 | Uncategorized
Are Liquid Alts more than Diluted Equity Funds? The hidden costs of liquid alternative funds April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most alternative funds feature correlations to equities that are too high Out of a sample of 500+ alt...
by Nicolas Rabener | Apr 21, 2025 | Uncategorized
Micro Cap or Micro Crap Stocks? The endless quest for hidden gems in the stock market April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Small-cap stocks have struggled to outperform since Banz’s 1981 study on the size factor Micro-cap stocks...
