Factors: Correlation Check

Factors: Correlation CheckWatch Out for High Correlations? September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Correlations between Quality and Growth factors are currently elevated Value is more negatively correlated than usual to Quality,...

There is Value in the Value Factor

There is Value in the Value FactorEquity Factors & Fundamental Factor Valuations September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equity factors can be valued using fundamental metrics Value and Size are cheap while Low Volatility and...

Value+Quality or High Quality Value Stocks?

Value+Quality or High Quality Value Stocks?Factor Portfolio Construction: Double-Sorting vs Combination September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInvestors can either combine single-factors into a portfolio or sort stocks for several...

Smart Beta vs Factor Returns

Smart Beta vs Factor ReturnsCousins, not Twins August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYSmart beta ETFs are based on factor investing researchExcess returns from smart beta ETFs are different from factor returnsInvestors need to be aware...