by Nicolas Rabener | Jan 5, 2019 | Uncategorized
An Anatomy of Smart Beta Value ETFs Can Value Investors Capture Factor Returns via Smart Beta? January 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta Value ETFs are relatively homogenous Some show high exposures to other equity factors,...
by Nicolas Rabener | Jan 2, 2019 | Uncategorized
ESG Investing: Too Good to be True?Good versus Bad Corporates January 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY ESG factors generated positive excess returns since 2009 Show positive exposure to Low Volatility & Quality and negative exposure...
by Nicolas Rabener | Dec 31, 2018 | Uncategorized
Factor Olympics 2018And the Winner is… January 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2018 was negative for classic multi-factor portfoliosLow Volatility generated the best and Value the worst performanceFactor performance was homogenous...
by Nicolas Rabener | Dec 17, 2018 | Uncategorized
Factor Investing Made in China Harvesting Factor Returns in the Middle Kingdom December 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Common equity factors generated attractive risk-adjusted returns in the Chinese stock market Factor performance in...
by Nicolas Rabener | Dec 10, 2018 | Uncategorized
Factor Optimization Pure versus Dirty Factors December 2018. Reading Time: 15 Minutes. Author: Nicolas Rabener. SUMMARYEquity factors exhibit sector biases and exposures to other common factorsA factor optimisation process allows investors to create pure...
by Nicolas Rabener | Dec 3, 2018 | Uncategorized
Private Equity: The Emperor has No Clothes Replicating Private Equity with Public Equities December 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Private equity returns can be replicated with small cap equities Small, cheap and levered stocks would...
