by Nicolas Rabener | Feb 10, 2020 | Uncategorized
Timing Low Volatility with Factor ValuationsHow Important Are Valuations for Expected Returns? February 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factors can be valued like stocks or markets The Low Volatility factor in the US had the best...
by Nicolas Rabener | Feb 3, 2020 | Uncategorized
Sentiment & Factor PerformanceCan Factor Returns Be Improved via Big Data? February 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stock sentiment can be aggregated from public sources using a big data approach Results indicate that sentiment has...
by Nicolas Rabener | Jan 27, 2020 | Uncategorized
Liquidity & Factor Performance How Do Minimum Liquidity Requirements Impact Factor Returns? January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most institutional investors can only trade the largest, most liquid stocks Introducing minimum...
by Nicolas Rabener | Jan 6, 2020 | Uncategorized
Factor Scoring Smart Beta ETFs Measuring the Value-for-Money Proposition of ETFs January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The difference between the cheapest and most expensive smart beta ETF in the US is 59 bps on average Some smart...
by Nicolas Rabener | Jan 1, 2020 | Uncategorized
Factor Olympics 2019And the Winner is… January 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYAs in 2018, Low Volatility produced the best and Value the worst performanceValue did not recover significantly further after a short rally in Q3...
