by Nicolas Rabener | May 20, 2018 | Uncategorized
Mean-Reversion Across MarketsHedging Tail Risks of Equity Portfolios May 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Mean-Reversion factor shows the same trends across marketsThe strategy differentiates itself from other factors by exhibiting...
by Nicolas Rabener | May 13, 2018 | Uncategorized
Alpha MomentumImproving the Momentum Factor May 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYStocks can be ranked by alpha instead of stock returnsAlpha Momentum generates a higher and more consistent performance than Price MomentumMomentum crashes...
by Nicolas Rabener | May 6, 2018 | Uncategorized
Value Factor – Comparing Valuation Metrics Searching for Superior Valuation Metrics May 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. INTRODUCTION Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a...
by Nicolas Rabener | Apr 16, 2018 | Uncategorized
Value Factor: Improving the Tax EfficiencyDo Value Stocks Need to be Dividend-Yielding? April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding...
by Nicolas Rabener | Apr 16, 2018 | Uncategorized
Low Volatility Factor: Interest Rate Sensitivity & Sector-NeutralityAre Low Vol Stocks Bond Proxies? April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe interest rate-sensitivity of the Low Volatility factor has increased in recent...
