by Nicolas Rabener | Oct 15, 2018 | Uncategorized
Improving the Odds of Value Tactical versus Strategic Allocations to Value October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue investors earn a premium for holding undesirable stocksMarket skewness may identify periods where the premium is...
by Nicolas Rabener | Oct 8, 2018 | Uncategorized
Factor Investing in Micro & Small Caps Treasure Hunting in the Wild West of Equity Markets October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Micro caps are commonly perceived as highly risky, but potentially also highly rewarding Smalls caps...
by Nicolas Rabener | Oct 1, 2018 | Uncategorized
Factor Olympics Q3 2018 And the Winner is… October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Global factor performance in the first three quarters of 2018 is comparable to 2017 However, regional factor performance diverges, reflecting...
by Nicolas Rabener | Sep 24, 2018 | Uncategorized
Liquid Alternatives: Alternative Enough? Fake Alternatives? September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Liquid alternatives offer hedge fund strategies in mutual fund format The correlations to the S&P 500 have been high, even of...
by Nicolas Rabener | Sep 13, 2018 | Uncategorized
Short-Term Momentum in Equity Factors Does Short-Term Performance Chasing Work? September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYShort-term momentum persists in common equity factorsThe persistence is strong in Value and Dividend YieldHowever,...
by Nicolas Rabener | Sep 1, 2018 | Uncategorized
Volatility, Dispersion & Correlation – Friends or Foes? Reading Stock Market Tea Leaves. September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Higher volatility & dispersion imply higher stock market risks The relationship between...
