by Nicolas Rabener | Oct 8, 2018 | Uncategorized
Factor Investing in Micro & Small Caps Treasure Hunting in the Wild West of Equity Markets October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Micro caps are commonly perceived as highly risky, but potentially also highly rewarding Smalls caps...
by Nicolas Rabener | Oct 1, 2018 | Uncategorized
Factor Olympics Q3 2018 And the Winner is… October 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Global factor performance in the first three quarters of 2018 is comparable to 2017 However, regional factor performance diverges, reflecting...
by Nicolas Rabener | Sep 13, 2018 | Uncategorized
Short-Term Momentum in Equity Factors Does Short-Term Performance Chasing Work? September 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYShort-term momentum persists in common equity factorsThe persistence is strong in Value and Dividend YieldHowever,...
by Nicolas Rabener | Aug 27, 2018 | Uncategorized
Factor MomentumChasing Factor Performance August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Momentum strategy can be applied to stocks, sectors, countries and factorsFactor momentum shows positive excess returns across regionsHowever,...
by Nicolas Rabener | Aug 21, 2018 | Uncategorized
How Crowded are Tech Stocks? A Systematic Approach to Measuring Peak Investor Interest August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equity crowding models can be applied to factors and sectors Crowding leads to more frequent drawdowns Tech...
