by Nicolas Rabener | Jul 14, 2018 | Uncategorized
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...
by Nicolas Rabener | Jul 10, 2018 | Uncategorized
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...
by Nicolas Rabener | Jul 4, 2018 | Uncategorized
Factor Crowding ModelMob Management Measures July 2018. Reading Time: 15 Minutes. Author: Nicolas Rabener. SUMMARYCrowded factors exhibit higher drawdowns than uncrowded factorsA multi-metric approach can be successfully applied to measure factor crowdingEffective in...
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...
