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...
by Nicolas Rabener | Mar 10, 2018 | Uncategorized
Factor Portfolios: Turnover AnalysisWhat’s my Portfolio Churn? March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor portfolios have an annual turnover over more than 100% The turnover rate varies substantially across factors Decreasing...
by Nicolas Rabener | Mar 8, 2018 | Uncategorized
Equity Factors & GDP Growth Does Strong Economic Growth Equate to High Factor Returns? March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Economic cycles have a clear impact on factor performance Some factors show pro-cyclical while others...
by Nicolas Rabener | Mar 1, 2018 | Uncategorized
Dividend Yield CombinationsEnhancing Dividend Yield March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Buying high yielding and selling low yielding stocks is not an attractive strategy Combining Dividend Yield with Quality & Growth factors...
by Nicolas Rabener | Feb 26, 2018 | Uncategorized
Factor Construction: Portfolio RebalancingWeekly, Monthly, Quarterly? February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor portfolios do not benefit significantly from intra-month rebalancingHowever, too infrequent rebalancing leads to lower...
by Nicolas Rabener | Feb 19, 2018 | Uncategorized
Sequential Model: Sorting by 5 FactorsPick a Factor, then Tilt, Tilt, Tilt. February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The sequential model ranks stocks by factors sequentially Allows investors to prioritise factors and results in...
