by Nicolas Rabener | Oct 21, 2024 | Uncategorized
Market-Neutral versus Smart Beta Factor Investing Don´t drop your shorts. October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta multi-factor ETFs in the U.S. have consistently generated negative returns over the last 10 years In contrast,...
by Nicolas Rabener | Oct 14, 2024 | Uncategorized
Factor Exposure Analysis 107: Linear vs Lasso vs Elastic Net Finding the optimal regression method for factor exposure analysis October 2024. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Different regression techniques can be used to measure factor...
by Nicolas Rabener | Oct 7, 2024 | Uncategorized
What´s Better than the S&P 500? A review of core equity funds October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Only 23.7% of U.S. core equity funds have generated a higher Sharpe ratio than the S&P 500 Some of these are cheaper, others...
by Nicolas Rabener | Oct 1, 2024 | Uncategorized
Factor Olympics Q3 2024 And the winner is… October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Low volatility performed the best, size the worst Smart...
by Nicolas Rabener | Sep 23, 2024 | Uncategorized
A Review of Global Macro Mutual Funds Investable, but uninvestable. September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Global macro mutual funds have too much equity exposure High Sharpe ratios do not imply high diversification benefits...
by Nicolas Rabener | Sep 16, 2024 | Uncategorized
Factor Construction with Different Lookbacks Does the lookback matter for stock selection? September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively quant strategies should benefit from new information and shorter lookbacks However,...
