by Nicolas Rabener | Dec 31, 2018 | Uncategorized
Factor Olympics 2018And the Winner is… January 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2018 was negative for classic multi-factor portfoliosLow Volatility generated the best and Value the worst performanceFactor performance was homogenous...
by Nicolas Rabener | Dec 17, 2018 | Uncategorized
Factor Investing Made in China Harvesting Factor Returns in the Middle Kingdom December 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Common equity factors generated attractive risk-adjusted returns in the Chinese stock market Factor performance in...
by Nicolas Rabener | Nov 12, 2018 | Uncategorized
Equity Factors: Reducing Portfolio Turnover Less Churn, More Returns? November 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Portfolio turnover of equity factors can be reduced significantly by trading more conservatively However, reducing turnover...
by Nicolas Rabener | Nov 5, 2018 | Uncategorized
The Odd Factors: Profitability & Investment Odd, but attractive? November 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Profitability factor generated attractive returns in the US and Europe since 1990 It is difficult to explain why...
by Nicolas Rabener | Oct 26, 2018 | Uncategorized
The Dark Side of Low-Volatility Stocks Long Bonds? October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low-volatility stocks have outperformed the market over the last 25 years The strategy has reduced equity drawdowns in the US, Europe, and Japan...
