by Nicolas Rabener | Apr 30, 2018 | Uncategorized
Equity Factors & InflationShould Factor Investors Prefer Inflation or Deflation? April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor performance is impacted by inflation and deflation An inflationary environment is more attractive for...
by Nicolas Rabener | Apr 16, 2018 | Uncategorized
Value Factor: Improving the Tax EfficiencyDo Value Stocks Need to be Dividend-Yielding? April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding...
by Nicolas Rabener | Apr 16, 2018 | Uncategorized
Low Volatility Factor: Interest Rate Sensitivity & Sector-NeutralityAre Low Vol Stocks Bond Proxies? April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe interest rate-sensitivity of the Low Volatility factor has increased in recent...
by Nicolas Rabener | Apr 1, 2018 | Uncategorized
Factor Olympics Q1 2018 And the Winner is… April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2018 started negative for the majority of factorsMomentum, Quality and Growth showed the strongest performanceLow Volatility, Dividend Yield and...
by Nicolas Rabener | Mar 27, 2018 | Uncategorized
Smart Beta or Smart MarketingThe Unusual Choices of Evidence-based Investors. April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETF investors seem to ignore empirical evidence Excess returns from smart beta are substantially different...
by Nicolas Rabener | Mar 16, 2018 | Uncategorized
Factor Exposure Analysis: Dow JonesDissecting the Dow March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor exposure should be considered a source of returns as well as of riskFactor biases can be measured top-down or bottom-upThe results of the...
