by Nicolas Rabener | Sep 9, 2017 | Uncategorized
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,...
by Nicolas Rabener | Sep 1, 2017 | Uncategorized
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...
by Nicolas Rabener | Aug 25, 2017 | Uncategorized
Smart Beta & Factor Correlations to the S&P 500Diversification Is Difficult August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most smart beta products exhibit correlations of > 0.9 to the S&P 500 Factors show correlations of zero...
by Nicolas Rabener | Aug 19, 2017 | Uncategorized
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...
by Nicolas Rabener | Aug 16, 2017 | Uncategorized
Smart Beta vs Factors in Portfolio ConstructionSmart Beta Might Not Be So Smart for Portfolios August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInvestors seek smart beta products for risk reductionHowever, smart beta products are effectively...
by Nicolas Rabener | Aug 13, 2017 | Uncategorized
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...
