by Nicolas Rabener | Jan 11, 2021 | Uncategorized
Factor Exposure Analysis 102: More or Less Independent Variables? The challenges of regression analysis January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are few alternatives to regression analysis when explaining investment performance...
by Nicolas Rabener | Jan 4, 2021 | Uncategorized
Factor Olympics 2020 And the winner is… January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum has been the clear winner across markets in 2020 Value has been the laggard like in recent years Low Volatility ended a 10-year fantastic...
by Nicolas Rabener | Dec 14, 2020 | Uncategorized
The Value Factor’s Pain: Are Intangibles to Blame? What is driving the value factor? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The rise of intangibles has been increasingly used as an argument for the poor performance of the value...
by Nicolas Rabener | Nov 30, 2020 | Uncategorized
ESG Data: Dazed and Confused An anatomy of data from one ESG provider November 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Case study of one ESG data set from a well-known provider Highly ranked ESG stocks do not have better fundamentals Stocks...
by Nicolas Rabener | Nov 23, 2020 | Uncategorized
Hedge Fund Battle: Discretionary vs Systematic Investing Man versus machine November 2020. Reading Time: 10 Minutes. Author: Karl Rogers & Nicolas Rabener. SUMMARY Given alternative data, machine learning, and AI advances, systematic should beat discretionary...
by Nicolas Rabener | Nov 16, 2020 | Uncategorized
Exploring Defined Outcome ETFs Structured products in an ETF wrapper – a recipe for disaster? November 2020. Reading Time: 10 Minutes. Author: Ben McMillan & Nicolas Rabener. SUMMARY Defined outcome ETFs have quickly gathered almost $5 billion in assets Not...
