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Factor Optimization via ETFs

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...

The Pitfalls of Portfolio Optimization

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...

Evaluating Metrics for Fund Selection

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...

Top vs Bottom Ranked Factor Portfolios

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...