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...
by Nicolas Rabener | Nov 26, 2018 | Uncategorized
Tactical Statistical Arbitrage Tactical versus Strategic Exposure November 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYStatistical arbitrage behaves similarly across marketsVolatility is the main performance driverAttractive strategy for...
by Nicolas Rabener | Nov 19, 2018 | Uncategorized
The Rise of Zombie StocksThe Dead versus the Living November 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Zombie firms, where interest payments exceed operating profits, are on the rise Zombie stocks perform surprisingly well They are expensive,...
