by Abhik Roy | Nov 17, 2024 | Uncategorized
Convexity as a Factor Finally, a Free Lunch? November 2024. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Convex stocks provided tail risk protection over the last 20 years However, a long-short convexity index would have underperformed the stock market...
by Nicolas Rabener | Oct 21, 2024 | Uncategorized
Market-Neutral versus Smart Beta Factor Investing Don´t drop your shorts. October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta multi-factor ETFs in the U.S. have consistently generated negative returns over the last 10 years In contrast,...
by Nicolas Rabener | Oct 1, 2024 | Uncategorized
Factor Olympics Q3 2024 And the winner is… October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Low volatility performed the best, size the worst Smart...
by Nicolas Rabener | Sep 16, 2024 | Uncategorized
Factor Construction with Different Lookbacks Does the lookback matter for stock selection? September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively quant strategies should benefit from new information and shorter lookbacks However,...
by Nicolas Rabener | Sep 9, 2024 | Uncategorized
Smart Beta ETF Construction: High versus Low Factor Exposures Portfolio construction matters September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor portfolios can be structured to offer high or low factor exposures Portfolio concentration...
