by Nicolas Rabener | May 26, 2025 | Uncategorized
Intersectional vs Sequential Multi-Factor Models And the winner is? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The intersectional and sequential multi-factor models generate comparable results The sequential ordering of factors matters less...
by Nicolas Rabener | May 19, 2025 | Uncategorized
Top vs Bottom-Ranked Factor Portfolios Do you need to own the highest-ranked stocks? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively, factor exposures should be maximized when seeking outperformance While this is true for momentum, it...
by Nicolas Rabener | May 5, 2025 | Uncategorized
Smart Beta ETF vs Customized Factor Portfolios Reducing the risk of conflicting factor exposures May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart beta ETFs have multiple factor exposures Combining these in a portfolio leads to factor...
by Nicolas Rabener | Apr 1, 2025 | Uncategorized
Factor Olympics Q1 2025 And the winner is… April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum and low volatility maintain their winning streak Value rebounded from negative to positive, while quality moved in the opposite direction...
by Nicolas Rabener | Mar 3, 2025 | Uncategorized
Are Low-Risk Stocks Really Low-Risk? Why are there no funds offering exposure to the best-performing factor? March 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The long-short low volatility factor generated a higher long-term return than momentum,...
