by Nicolas Rabener | Dec 15, 2025 | Uncategorized
Factor Performance vs Portfolio Concentration – II The more concentrated, the higher the returns, right? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta returns vary significantly with portfolio concentration Betas and factor...
by Nicolas Rabener | Dec 8, 2025 | Uncategorized
Factor Performance vs Portfolio Concentration The more concentrated, the higher the returns, right? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY More concentrated portfolios generated higher excess returns for value & momentum stocks...
by Nicolas Rabener | Nov 17, 2025 | Uncategorized
Impact of Lookback Period on Momentum Factor What is the optimal lookback period? November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum can be measured over various lookback periods The optimal lookback remains between six and 12 months...
by Nicolas Rabener | Oct 6, 2025 | Uncategorized
Factor Olympics Q3 2025 And the winner is… October 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The momentum factor increased its leadership position The low volatility factor moved from second-best to worst performance Market-neutral factor...
by Nicolas Rabener | Aug 25, 2025 | Uncategorized
Quality vs Growth Factors Why do high ROE stocks outperform high-growth ones? August 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Quality and growth factor returns differ between research and reality Most generated negative excess returns...
