by Nicolas Rabener | Jul 1, 2024 | Uncategorized
Factor Olympics 1H 2024 And the winner is… July 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 Momentum performed the best, size the worst Long-short...
by Nicolas Rabener | Apr 29, 2024 | Uncategorized
Factor Investing Is Dead, Long Live Factor Investing! Portfolio construction and implementation matters April 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Market-neutral multi-factor products have reached all-time highs However, long-only...
by Nicolas Rabener | Apr 22, 2024 | Uncategorized
Quality versus Low Volatility ETFs As different as night and day April 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Quality and low volatility stocks provide substantially different exposures Neither has outperformed the stock market, but both were...
by Nicolas Rabener | Apr 8, 2024 | Uncategorized
Factor Olympics Q1 2024 And the winner is… April 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Some factor trends continued from 2023, but there were also two significant rotations Momentum performed the best, size the worst Most long-short...
by Nicolas Rabener | Apr 1, 2024 | Uncategorized
Duration as an Equity Factor Selecting stocks based on their interest rate-sensitivity April 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stocks can have a high, low, or negative sensitivity to interest rates The duration profile of stocks changes...
