by Nicolas Rabener | Aug 15, 2018 | Uncategorized
Low Volatility, Low Beta & Low CorrelationThere is Magic in Leverage August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Low Volatility, Low Beta and Low Correlation factors are interrelatedLow-risk factors generate attractive risk-adjusted...
by Nicolas Rabener | Aug 13, 2018 | Uncategorized
Factor Exposure: Smart Beta ETFs vs Mutual FundsDo Active Managers Provide Higher Factor Exposure than ETFs? August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can express factor views via smart beta ETFs or mutual funds Some mutual...
by Nicolas Rabener | Aug 6, 2018 | Uncategorized
Momentum VariationsDoes Complexity Beat Simplicity? August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe simplicity of the Momentum factor can be intellectually challengingVarious alternative Momentum versions highlight remarkable similar return...
by Nicolas Rabener | Jul 30, 2018 | Uncategorized
Factors: Shorting Stocks vs the IndexDo Short Stock Positions Contribute to Factor Returns? July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factor investing research is based on long-short stock portfolios Investible risk premia strategies...
by Nicolas Rabener | Jul 22, 2018 | Uncategorized
ETFs, Smart Beta & Factor ExposureDo Smart Beta ETFs Provide the Desired Factor Exposure? July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor exposure analysis can be used to derive factor themesSmart beta ETFs offer relatively low factor...
by Nicolas Rabener | Jul 14, 2018 | Uncategorized
Stock Portfolio OptimizationMeasuring and Tuning Factor Exposure July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYPortfolios frequently contain stocks representing duplicate factor risks or insignificant weightsAn optimisation process focused on...
