by Nicolas Rabener | Aug 24, 2020 | Uncategorized
How Risky Are Value Stocks? Challenging Value as a risk premium strategy August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Value factor is often explained as representing a risk premium or a behavioral bias However, financial analysts regard...
by Nicolas Rabener | Aug 17, 2020 | Uncategorized
Bank Risk Premia Indices: Unbankable? Exploring Factor Investing Across Asset Classes August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor investing can be pursued across asset classes Risk premia products sold by investment banks have...
by Nicolas Rabener | Aug 7, 2020 | Uncategorized
Factor Investing in Singapore Exploring the factor exposure of stocks in the Lion City August 2020. Reading Time: 15 Minutes. Author: Nicolas Rabener. This research note was a collaboration with Singapore Exchange (SGX). We appreciate the joint effort and their...
by Nicolas Rabener | Jul 13, 2020 | Uncategorized
Cap-Weighted Benchmarks: Good Momentum Bets? No, they are not. July 2020. Reading Time: 10 Minutes. Author: Rodolfo Martell. SUMMARY After strong momentum rallies, investors frequently ask if cap-weighted benchmarks are good Momentum bets Factor exposure analysis...
by Nicolas Rabener | Jul 5, 2020 | Uncategorized
Factor Olympics 1H 2020 And the winner Is… July 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum & Quality are leading the performance scoreboard in 1H 2020 Value & Size generated negative returns, like in recent years Low...
