by Nicolas Rabener | Aug 19, 2019 | Uncategorized
How Painful Can Factor Investing Get? Current vs Past Agonies August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A classic long-short, multi-factor portfolio has lost close to 20% since 2018 The drawdown is within expectations, but the recovery...
by Nicolas Rabener | Aug 5, 2019 | Uncategorized
Low Vol Factor: From Obscurity to Stardom Has Low Vol Changed Given the Rise in Popularity? August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYGiven the popularity of Low Volatility, investors might expect structural shifts in the factor...
by Nicolas Rabener | Jul 30, 2019 | Uncategorized
Growth: Factor Investing Sinning? Paying for Emotional Happiness? July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Growth stocks outperformed the US stock market since 1992 However, the higher returns are explained by higher betas The long-short...
by Nicolas Rabener | Jul 1, 2019 | Uncategorized
Factor Olympics 1H 2019 And the Winner is… July 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factors generated positive returns in 1H 2019 Low Volatility produced the best and Value the worst performance Factor performance is comparable...
by Nicolas Rabener | Jun 24, 2019 | Uncategorized
Mapping My Mind: Value Factor What have I learned so far? June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There is consistency in the performance of the Value factor across markets and asset classes Allows to create a coherent framework of how to...
