by Nicolas Rabener | Sep 23, 2019 | Uncategorized
Smart Beta vs Alpha + Beta Simplifying Equity Portfolios September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investment portfolios can be simplified by separating alpha from beta Alpha + beta portfolios offer higher risk-adjusted returns than...
by Nicolas Rabener | Sep 16, 2019 | Uncategorized
Is Low Vol the New Value? Same, Same, but Different September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Low Volatility factor exhibited significant exposure to Value since 1989 The factors were highly correlated in the 1990s, but less after...
by Nicolas Rabener | Sep 9, 2019 | Uncategorized
Hedging via Managed Futures Liquid Alts Exploring Low-Cost, Tradable CTAs September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Managed futures strategies provided attractive diversification benefits during the financial crisis The strategies have...
by Nicolas Rabener | Sep 2, 2019 | Uncategorized
Improving the Odds of Value: II Tactical versus Strategic Allocations to Value September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue investors earn a premium for holding undesirable stocksThe yield curve may identify periods where the premium...
by Nicolas Rabener | Aug 27, 2019 | Uncategorized
Factor Investing on Country Level Away with Stocks? August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can harvest returns from common equity factors on country level Returns are consistent when combined into a multi-factor portfolio...
by Nicolas Rabener | Aug 19, 2019 | Uncategorized
How Painful Can Factor Investing Get? Current vs Past Agonies August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A classic long-short, multi-factor portfolio has lost close to 20% since 2018 The drawdown is within expectations, but the recovery...
