by Nicolas Rabener | Aug 12, 2019 | Uncategorized
Quant Strategies: Theory vs Reality Can Returns Seen in Research Be Achieved? August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The live performance of quant strategies is significantly worse than in backtesting Factor investing returns from...
by Nicolas Rabener | Aug 5, 2019 | Uncategorized
Low Vol Factor: From Obscurity to Stardom Has Low Vol Changed Given the Rise in Popularity? August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYGiven the popularity of Low Volatility, investors might expect structural shifts in the factor...
by Nicolas Rabener | Jul 30, 2019 | Uncategorized
Growth: Factor Investing Sinning? Paying for Emotional Happiness? July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Growth stocks outperformed the US stock market since 1992 However, the higher returns are explained by higher betas The long-short...
by Nicolas Rabener | Jul 23, 2019 | Uncategorized
PMI & Equity Factor Performance How Sensitive Are Equity Factors to Changes in the PMI? July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value and Size have a positive relationship with the PMI, similar to the S&P 500 Indicates that risk...
by Nicolas Rabener | Jul 15, 2019 | Uncategorized
ESG: What is Under the Hood? Residual Returns from ESG Investing July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The ESG factor generated positive returns since 2011 Strong sector biases (long tech & short discretionary) explain the...
by Nicolas Rabener | Jul 8, 2019 | Uncategorized
Indexing: Out with Tradition? Traditional vs Non-Traditional Indexing July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equal and fundamentally weighted equity indices outperformed market cap weighted in the US since 1990 The higher returns are...
