Upside versus Downside Stocks

Upside versus Downside Stocks There is more upside in downside, and more downside in upside stocks than expected. April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stocks can be ranked by their upside and downside betas to the S&P 500 Results...

Factor Olympics 2023 Q1

Factor Olympics 2023 Q1  And the winner is… April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY After a great 2022 for factor investing, this year has started negatively for all traditional factors Perhaps this can be attributed to a revival...

Factor Olympics 2022

Factor Olympics 2022  And the winner is… January 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2022 is the best year for factor investing over the last decadeValue generated the best and size the worst return in 2022Despite the strong returns,...

Factor Olympics Q3 2022

Factor Olympics Q3 2022  And the winner is… October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue is leading the performance scoreboard in YTD 2022Low volatility is the worst-performing factorOddly, the value and low volatility factors...

Factor Olympics Q2 2022

Factor Olympics Q2 2022  And the winner is… July 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue is the clear winner of YTD 2022Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous yearsThe...