by Nicolas Rabener | Dec 9, 2017 | Uncategorized
Factor Returns: Year-End Calendar EffectsMomentum in December versus Value & Size in January? December 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue & Size generate abnormally large positive returns in January, Momentum negative...
by Nicolas Rabener | Nov 26, 2017 | Uncategorized
Intersectional Model: Sorting 7 FactorsSearching for Jack of All Trades on the Stock Market December 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Focusing purely on Value is a difficult strategy Sorting by multiple factors improves performance and...
by Nicolas Rabener | Nov 22, 2017 | Uncategorized
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...
by Nicolas Rabener | Nov 3, 2017 | Uncategorized
Integrated Value, Growth & Quality PortfoliosSearching for Cheap, Fast Growing and High Quality Stocks. November 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Integrated Value, Growth & Quality portfolios generated attractive returns...
by Nicolas Rabener | Oct 27, 2017 | Uncategorized
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...
