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...
by Nicolas Rabener | Jan 25, 2018 | Uncategorized
Factor Allocation ModelsImproving Factor Portfolio Efficiency January 2018. Reading Time: 15 Minutes. Author: Nicolas Rabener. SUMMARYFactor timing and factor risk management are related concepts, but have different objectivesFactors have unique characteristics that...
by Nicolas Rabener | Jan 10, 2018 | Uncategorized
Value & Momentum Factor PortfoliosHow to Combine Cheap and Winning Stocks. January 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value and Momentum complement each other given a low or negative correlation Investors have different options for...
by Nicolas Rabener | Jan 6, 2018 | Uncategorized
Factor Investing: Gross to Net ReturnsFrom Theory to Reality January 2018. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long-short multi-factor portfolios generate attractive returns before fees Returns are much less attractive post fees charged...
