Factor Construction: Portfolio Scenarios

Factor Construction: Portfolio ScenariosHow Many Stocks Are Needed to Capture Factor Returns? November 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYMost researchers create factor portfolios by taking the top & bottom 30% of stocks, which results...

Resist the Siren Call of High Dividend Yields

Resist the Siren Call of High Dividend YieldsThe Dividend Factor Tends to Yield Negative Returns October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Buying high yielding and selling low yielding stocks has been an attractive strategy since 2000...

Factor Returns: Small vs Large Caps

Factor Returns: Small vs Large CapsAre Factor Returns Limited to Small Caps? October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A frequent criticism of factor investing is that factor returns are stronger in small caps Our research highlights...

Death, Taxes and Mean-Reversion

Death, Taxes and Mean-ReversionWaiting for Volatility October 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. Notice: This research note was originally published in October 2017 and was updated in May 2018 as the results changed slightly due to more accurate...