Trend Following in Equities

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...

Cheap vs Expensive Factors

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...

Minimum Correlation Factor Portfolios

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...

Improving the Momentum Factor

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...