by Nicolas Rabener | Jan 6, 2025 | Uncategorized
Factor Olympics 2024 And the winner is… January 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Momentum performed the best, size the worst Smart beta...
by Nicolas Rabener | Dec 30, 2024 | Uncategorized
Quality in Small versus Large-Cap Stocks Quality stocks outperform, right? December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Adding quality filters significantly improves small-cap investing However, the opposite occurs in the large-cap space...
by Abhik Roy | Nov 17, 2024 | Uncategorized
Convexity as a Factor Finally, a Free Lunch? November 2024. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Convex stocks provided tail risk protection over the last 20 years However, a long-short convexity index would have underperformed the stock market...
by Nicolas Rabener | Oct 21, 2024 | Uncategorized
Market-Neutral versus Smart Beta Factor Investing DonĀ“t drop your shorts. October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta multi-factor ETFs in the U.S. have consistently generated negative returns over the last 10 years In contrast,...
by Nicolas Rabener | Oct 1, 2024 | Uncategorized
Factor Olympics Q3 2024 And the winner is… October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Low volatility performed the best, size the worst Smart...