Factor Returns: Small vs Large Caps

Factor Returns: Small vs Large CapsAre Factor Returns Limited to Small Caps? October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A frequent criticism of factor investing is that factor returns are stronger in small caps Our research highlights...

Hedging Market Crashes with Factor Exposure

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...

Death, Taxes and Mean-Reversion

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...

Factor Olympics: Q3 2017

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...