by Nicolas Rabener | May 22, 2023 | Uncategorized
Trend Following in Equities The trend is my friend, right? May 2023 Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYLong-only trend following in equities was more effective than long-short trend following in the USSame for European and Asian stock...
by Nicolas Rabener | Nov 1, 2021 | Uncategorized
Short-Term Momentum in Stocks, Commodities, and Cryptos Retail vs institutional investors November 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research article was originally published in ETF Stream’s ETF Insider. Here is the...
by Nicolas Rabener | May 18, 2020 | Uncategorized
Cheap vs Expensive Factors Are Expensive Factors More Risky? May 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published at Alpha Architect. Here is the link.SUMMARYFactors can be valued like stocksFactor valuations have...
by Nicolas Rabener | Mar 11, 2020 | Uncategorized
Minimum Correlation Factor Portfolios The lower the factor correlation, the better? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published at Alpha Architect. Here is the link.SUMMARYMinimizing factor correlations...
by Nicolas Rabener | May 20, 2019 | Uncategorized
Improving the Momentum Factor Can Momentum Be Fixed? May 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe performance of the Momentum factor in the US has been poor since 2000Fundamental valuation spreads were ineffective for improving the...
