by Nicolas Rabener | Aug 7, 2017 | Uncategorized
Equity Factors In JapanLand of the Rising Alpha? August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYJapan has unique characteristics from an economic perspectiveFactor performance in Japan mirrors global factor performanceDebt & demographics...
by Nicolas Rabener | Jul 25, 2017 | Uncategorized
Factors & Volatility-Based Risk ManagementDifferent Factor, Different Risk Management? July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYA common approach to factor allocation is to scale exposure by factor volatilityThis approach improves the...
by Nicolas Rabener | Jul 20, 2017 | Uncategorized
Quality Factor: How To Define It?Same, Same, but Different? July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYDifferent Quality definitions result in dramatically different return profilesQuestionable if there is structural alpha in the Quality...
by Nicolas Rabener | Jul 14, 2017 | Uncategorized
Low Volatility Factor: High ValuationLow Vol Does Not Need to Have Low Vol July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Low Volatility factor has generated stellar abnormal returns over the last decadesCurrent factor valuations...
by Nicolas Rabener | Jun 27, 2017 | Uncategorized
Factor Olympics: 1H 2017 And the Winner is… July 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2017 seems to be a good year for factor exposure as most factors are positiveGrowth, Quality, and Low Volatility are headed for the winners...
