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...
by Nicolas Rabener | Apr 14, 2025 | Uncategorized
Factor Exposure Analysis 114: Factor Offsetting Better to bet on fewer rather than many factors April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Many factors feature structural negative correlations to others Combining smart beta strategies often...
by Nicolas Rabener | Apr 6, 2025 | Uncategorized
Combining Risk-Managed Equities and Managed Futures – II Do you need risk management for equities in a diversified portfolio? April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Risk managing equities increases Sharpe ratios, but can decrease...
