by Nicolas Rabener | Jul 1, 2018 | Uncategorized
Factor Olympics 1H 2018And the Winner is… July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor performance in 1H 2018 is comparable to 2017The Size factor has taken the lead, likely reflecting the threat of global trade warsValue has...
by Nicolas Rabener | Jun 21, 2018 | Uncategorized
Measuring Factor Crowding via ValuationsInvestigating Crowd Control Measures for Factor Investing June 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFundamental factor valuations can be used to identify factor crowdingHowever, the approach does not...
by Nicolas Rabener | Jun 15, 2018 | Uncategorized
Sector versus Country MomentumDoes Performance Chasing Work? June 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Momentum strategy can be applied to stocks, sectors and countriesSector and country Momentum portfolios generate positive excess...
by Nicolas Rabener | Jun 6, 2018 | Uncategorized
Skewness as a FactorAnalysing Punchy Stocks June 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYSkewness is a feature of stocks with high firm-risksStocks with positive or negative skewness outperform the marketCan partially be explained by the Size...
by Nicolas Rabener | May 25, 2018 | Uncategorized
Tactical Mean-ReversionHedging Tail Risks of Equity Portfolios Efficiently May 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Mean-Reversion factor is driven by volatilityAllocating tactically when volatility is high generates an attractive payoff...
