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Low Volatility, Low Beta & Low Correlation

Low Volatility, Low Beta & Low CorrelationThere is Magic in Leverage August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Low Volatility, Low Beta and Low Correlation factors are interrelatedLow-risk factors generate attractive risk-adjusted...

Momentum Variations

Momentum VariationsDoes Complexity Beat Simplicity? August 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe simplicity of the Momentum factor can be intellectually challengingVarious alternative Momentum versions highlight remarkable similar return...

Factors: Shorting Stocks vs the Index

Factors: Shorting Stocks vs the IndexDo Short Stock Positions Contribute to Factor Returns? July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factor investing research is based on long-short stock portfolios Investible risk premia strategies...

Stock Portfolio Optimization

Stock Portfolio OptimizationMeasuring and Tuning Factor Exposure July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYPortfolios frequently contain stocks representing duplicate factor risks or insignificant weightsAn optimisation process focused on...

Impact of Single Stocks on Factor Returns

Impact of Single Stocks on Factor ReturnsDo Single Stocks Matter for Factor Investors? July 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor portfolios are typically created by equal weighting stocks The impact of single stocks is therefore...