by Nicolas Rabener | Oct 12, 2017 | Uncategorized
Hedging Market Crashes with Factor ExposureNo Factor is a Panacea, but all are attractive Diversifiers October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYNone of the factors consistently generated positive performance during recent market...
by Nicolas Rabener | Oct 6, 2017 | Uncategorized
Death, Taxes and Mean-ReversionWaiting for Volatility October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. Notice: This research note was originally published in October 2017 and was updated in May 2018 as the results changed slightly due to more accurate...
by Nicolas Rabener | Oct 1, 2017 | Uncategorized
Factor Olympics: Q3 2017And the Winner is… October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2017 is on track for a good year for factor exposure as most factors are positiveQuality, Growth, and Momentum are headed for the winners...
by Nicolas Rabener | Sep 23, 2017 | Uncategorized
Quality Factor: Zero Alpha for Most Investors?Factor Construction Matters September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYIt’s difficult to rationalise why there should be excess returns from high quality stocksThe Quality factor needs...
by Nicolas Rabener | Sep 16, 2017 | Uncategorized
Factor Allocation 101: Equal vs Volatility-WeightedSimplicity Beats Complexity September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equal-weight and volatility-weighted allocations are two common factor allocation frameworks Risk-return ratios...
by Nicolas Rabener | Sep 9, 2017 | Uncategorized
Factors: Correlation CheckWatch Out for High Correlations? September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Correlations between Quality and Growth factors are currently elevated Value is more negatively correlated than usual to Quality,...
