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...
by Nicolas Rabener | Jul 1, 2019 | Uncategorized
Factor Olympics 1H 2019 And the Winner is… July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factors generated positive returns in 1H 2019 Low Volatility produced the best and Value the worst performance Factor performance is comparable...
by Nicolas Rabener | Jun 24, 2019 | Uncategorized
Mapping My Mind: Value Factor What have I learned so far? June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There is consistency in the performance of the Value factor across markets and asset classes Allows to create a coherent framework of how to...
by Nicolas Rabener | Jun 17, 2019 | Uncategorized
A Horse Race of Liquid Alternatives Portfolio Protection via Liquid Alts? June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can access alternative strategies via mutual funds and ETFs Most of these show moderate to high correlations to...
by Nicolas Rabener | Jun 10, 2019 | Uncategorized
The Case Against Small Caps Testing Alternative Metrics to Market Capitalization June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The performance of the Size factor in the US was positive since 1926, but not particularly attractive Returns in...
