by Nicolas Rabener | Jun 18, 2017 | Uncategorized
Factor Construction: Beta vs $-NeutralityIs Beta Driving Factor Performance? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactors constructed $-neutral didn’t benefit much from beta-exposure from 2000 to 2017Beta-neutrality is only a must...
by Nicolas Rabener | Jun 11, 2017 | Uncategorized
Market & Factor Volatility Mirror, Mirror, on the Wall… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor volatility mirrors market volatility Market volatility is higher than factor volatility Momentum has higher volatility than...
by Nicolas Rabener | Jun 5, 2017 | Uncategorized
Value & Quality Factor ValuationsWhere is the Value? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value and Quality stocks are typically polar opposites from a valuation perspective The Value factor can be considered cheap across developed...
by Nicolas Rabener | May 29, 2017 | Uncategorized
Value US Sectoral AnalysisWhat’s Under the Hood? May 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Using price-to-book (PB) or price-to-earnings (PE) results in similar Value factor performance Some sectors are perpetually expensive while...
by Nicolas Rabener | May 21, 2017 | Uncategorized
Market Timing vs Risk Management The Enemy Is Us May 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Behavioural biases cause the average human to make sub-optimal investment decisions Market timing should not be attempted Simple and robust risk...
by Nicolas Rabener | May 21, 2017 | Uncategorized
Size Factor Is Small Cap Exposure Worth It? May 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Size as a factor shows little consistency in generating positive returns over time Investors do not seem to get compensated for the higher risks of holding...
