by Nicolas Rabener | Apr 20, 2020 | Uncategorized
Smart Beta Fixed Income ETFs Better than their Benchmarks? April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor investing in fixed income has been heralded as the next frontier in asset management Smart beta fixed income ETFs in the US manage...
by Nicolas Rabener | Apr 13, 2020 | Uncategorized
Low Vol-Momentum vs Value-Momentum PortfoliosBoring versus Cheap Winners April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Vol-Momentum & Value-Momentum portfolios outperformed stock markets since 1989 Low factor correlations contributed...
by Nicolas Rabener | Apr 6, 2020 | Uncategorized
Factor Olympics Q1 2020And the Winner is… April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYBeta-neutral long-short factors were largely negative during Q1 2020Momentum & Quality are leading the performance leaderboardInvestors were most...
by Nicolas Rabener | Mar 11, 2020 | Uncategorized
Minimum Correlation Factor Portfolios The lower the factor correlation, the better? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Minimizing factor correlations is a common approach to creating multi-factor portfolios However, the...
by Nicolas Rabener | Mar 9, 2020 | Uncategorized
LOVM Portfolios Around the World Betting On Boring Winners March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Volatility-Momentum portfolios outperformed markets across regions over the last 30 years The combination model generated consistently...
