What´s Better than the S&P 500?

What´s Better than the S&P 500? A review of core equity funds October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Only 23.7% of U.S. core equity funds have generated a higher Sharpe ratio than the S&P 500 Some of these are cheaper, others...

Factor Olympics Q3 2024

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...

Factor Construction with Different Lookbacks

Factor Construction with Different Lookbacks Does the lookback matter for stock selection? September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively quant strategies should benefit from new information and shorter lookbacks However,...

Outperformance via Leverage

Outperformance via Leverage Active managers versus leveraged ETFs September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Active fund managers have failed to generate outperformance Theoretically, investors could use leveraged ETFs to generate...