by Nicolas Rabener | Aug 18, 2025 | Uncategorized
Measuring Macro Sensitivity Putting macro variables under the microscope August 2025. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Macro variables affect portfolios differently Betas and R2 vary significantly with lookback and frequency GDP growth and...
by Nicolas Rabener | Jul 1, 2025 | Uncategorized
Factor Olympics 1H 2025 And the winner is… July 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Only momentum generated meaningful excess returns year-to-date Value and small-cap stocks underperformed Market-neutral factor returns continue to be...
by Nicolas Rabener | Apr 1, 2025 | Uncategorized
Factor Olympics Q1 2025 And the winner is… April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum and low volatility maintain their winning streak Value rebounded from negative to positive, while quality moved in the opposite direction...
by Nicolas Rabener | Mar 3, 2025 | Uncategorized
Are Low-Risk Stocks Really Low-Risk? Why are there no funds offering exposure to the best-performing factor? March 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The long-short low volatility factor generated a higher long-term return than momentum,...
by Abhik Roy | Feb 17, 2025 | Uncategorized
Is it Profitable to Invest in Profitable Firms? Comparing stocks with positive versus negative earnings. February 2025. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY The profitability of U.S. stocks has declined over the last two decades The number of...
