by Nicolas Rabener | Feb 19, 2021 | Uncategorized
Oh, Quality, Where Art Thou? Highlighting the reduced upside but full downside capture of quality ETFs January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Quality and quality income ETFs have underperformed the S&P 500 since 2005 The most...
by Nicolas Rabener | Jan 4, 2021 | Uncategorized
Factor Olympics 2020 And the winner is… January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum has been the clear winner across markets in 2020 Value has been the laggard like in recent years Low Volatility ended a 10-year fantastic...
by Nicolas Rabener | Dec 14, 2020 | Uncategorized
The Value Factor’s Pain: Are Intangibles to Blame? What is driving the value factor? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The rise of intangibles has been increasingly used as an argument for the poor performance of the value...
by Nicolas Rabener | Oct 19, 2020 | Uncategorized
Don’t Get Carried Away by Carry Observing unusual but insightful cross-asset relationships October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Carry across asset classes has not performed strongly over the most recent decade Currency carry...
by Nicolas Rabener | Oct 1, 2020 | Uncategorized
Factor Olympics Q3 2020 And the winner is… October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum & Quality are leading the performance scoreboard in Q1-3 2020 Value & Size generated negative returns, like in recent years, and...
