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...
by Nicolas Rabener | Dec 10, 2019 | Uncategorized
LOVM: Low Volatility-Momentum PortfoliosThe Factor Combination Creating the Least Amount of Emotional Pain? February 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Volatility-Momentum portfolios in the US outperformed the stock market since 1989...
by Nicolas Rabener | Dec 9, 2019 | Uncategorized
How to Evaluate Smart Beta ETFs Measuring the Factor Bang for the Buck December 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETFs can be compared via a factor score, which relates fees to the factor exposure Value-focused ETFs in the US...
