by Nicolas Rabener | Jan 13, 2020 | Uncategorized
How Expensive are ESG Stocks? Long Growth, Short Value? January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Highly ranked ESG stocks trade at higher valuation multiples than the stock market However, the difference in multiples is minor and far...
by Nicolas Rabener | Jan 6, 2020 | Uncategorized
Factor Scoring Smart Beta ETFs Measuring the Value-for-Money Proposition of ETFs January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The difference between the cheapest and most expensive smart beta ETF in the US is 59 bps on average Some smart...
by Nicolas Rabener | Jan 1, 2020 | Uncategorized
Factor Olympics 2019And the Winner is… January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYAs in 2018, Low Volatility produced the best and Value the worst performanceValue did not recover significantly further after a short rally in Q3...
by Nicolas Rabener | Dec 16, 2019 | Uncategorized
Global Pension Funds: The Coming StormThe Gloomy Outlook for Returns & Pension Funds December 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The outlook for US equity and bond returns is low based on historical data The return assumptions of US...
by Nicolas Rabener | Dec 10, 2019 | Uncategorized
LOVM: Low Volatility-Momentum PortfoliosThe Factor Combination Creating the Least Amount of Emotional Pain? February 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Volatility-Momentum portfolios in the US outperformed the stock market since 1989...
by Nicolas Rabener | Dec 9, 2019 | Uncategorized
How to Evaluate Smart Beta ETFs Measuring the Factor Bang for the Buck December 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETFs can be compared via a factor score, which relates fees to the factor exposure Value-focused ETFs in the US...
