by Nicolas Rabener | Apr 1, 2018 | Uncategorized
Factor Olympics Q1 2018 And the Winner is… April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2018 started negative for the majority of factorsMomentum, Quality and Growth showed the strongest performanceLow Volatility, Dividend Yield and...
by Nicolas Rabener | Mar 27, 2018 | Uncategorized
Smart Beta or Smart MarketingThe Unusual Choices of Evidence-based Investors. April 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETF investors seem to ignore empirical evidence Excess returns from smart beta are substantially different...
by Nicolas Rabener | Mar 10, 2018 | Uncategorized
Factor Portfolios: Turnover AnalysisWhat’s my Portfolio Churn? March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor portfolios have an annual turnover over more than 100%The turnover rate varies substantially across factorsDecreasing the...
by Nicolas Rabener | Mar 1, 2018 | Uncategorized
Dividend Yield CombinationsEnhancing Dividend Yield March 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYBuying high yielding and selling low yielding stocks is not an attractive strategyCombining Dividend Yield with Quality & Growth factors...
by Nicolas Rabener | Feb 26, 2018 | Uncategorized
Factor Construction: Portfolio RebalancingWeekly, Monthly, Quarterly? February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor portfolios do not benefit significantly from intra-month rebalancingHowever, too infrequent rebalancing leads to lower...
