by Nicolas Rabener | Jul 7, 2025 | Uncategorized
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...
by Nicolas Rabener | Jul 1, 2025 | Uncategorized
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...
by Nicolas Rabener | Jun 23, 2025 | Uncategorized
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...
by Nicolas Rabener | Jun 16, 2025 | Uncategorized
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...
by Nicolas Rabener | Jun 10, 2025 | Uncategorized
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...
by Nicolas Rabener | Jun 2, 2025 | Uncategorized
Building Better High Yield Portfolios – III Balancing diversification and yield June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most yield strategies generated lower returns and Sharpe ratios than the S&P 500 Furthermore, most of these...
