by Nicolas Rabener | Jan 5, 2026 | Uncategorized
Factor Olympics 2025 And the winner is… January 2026. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum was the best, and low volatility was the worst-performing factor Long-short factor investing generated strong excess returns Long-only,...
by Nicolas Rabener | Dec 22, 2025 | Uncategorized
Betting on Insiders Signal or noise? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Following insider trading is an intuitively appealing investment strategy However, the track record of such funds is abysmal CEOs are as poor at predicting...
by Nicolas Rabener | Dec 15, 2025 | Uncategorized
Factor Performance vs Portfolio Concentration – II The more concentrated, the higher the returns, right? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta returns vary significantly with portfolio concentration Betas and factor...
by Nicolas Rabener | Dec 8, 2025 | Uncategorized
Factor Performance vs Portfolio Concentration The more concentrated, the higher the returns, right? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY More concentrated portfolios generated higher excess returns for value & momentum stocks...
by Nicolas Rabener | Dec 1, 2025 | Uncategorized
Myth-Busting: The Profitability Factor Is Profitable What makes ROE so unique? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Selecting U.S. stocks on profitability metrics failed to generate excess returns Only return-on-equity produced...
by Nicolas Rabener | Nov 24, 2025 | Uncategorized
Replicating Capital-Efficient Funds Unstacking returns November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Capital-efficient funds use leverage to cover core portfolio allocations The residual cash can be used for alternatives These funds can be...
