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...
by Nicolas Rabener | Feb 19, 2018 | Uncategorized
Sequential Model: Sorting by 5 FactorsPick a Factor, then Tilt, Tilt, Tilt. February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The sequential model ranks stocks by factors sequentially Allows investors to prioritise factors and results in...
by Nicolas Rabener | Feb 5, 2018 | Uncategorized
What’s in a Factor? Breakdown by SectorsStructural Sector Exposure vs Frequent Sector Rotation February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Some factors show structural sector exposure while others rotate sectors frequently Sector...
by Nicolas Rabener | Feb 4, 2018 | Uncategorized
Value Factor – Intra vs Cross-SectorHow Effective is Sector-Neutrality? February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYIntra versus cross-sector Value portfolios share the major trendsNeutralising the sector exposure increases the...
by Nicolas Rabener | Feb 2, 2018 | Uncategorized
Factor ETFs & FuturesFactor Investing DIY Tools? February 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can directly access factor returns via ETFs in the US & futures in Europe However, neither of these come without some investor...
