by Nicolas Rabener | Sep 23, 2017 | Uncategorized
Quality Factor: Zero Alpha for Most Investors?Factor Construction Matters September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYIt’s difficult to rationalise why there should be excess returns from high quality stocksThe Quality factor needs...
by Nicolas Rabener | Sep 16, 2017 | Uncategorized
Factor Allocation 101: Equal vs Volatility-WeightedSimplicity Beats Complexity September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equal-weight and volatility-weighted allocations are two common factor allocation frameworks Risk-return ratios...
by Nicolas Rabener | Sep 9, 2017 | Uncategorized
Factors: Correlation CheckWatch Out for High Correlations? September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Correlations between Quality and Growth factors are currently elevated Value is more negatively correlated than usual to Quality,...
by Nicolas Rabener | Sep 1, 2017 | Uncategorized
There is Value in the Value FactorEquity Factors & Fundamental Factor Valuations September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equity factors can be valued using fundamental metrics Value and Size are cheap while Low Volatility and...
by Nicolas Rabener | Aug 25, 2017 | Uncategorized
Smart Beta & Factor Correlations to the S&P 500Diversification Is Difficult August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most smart beta products exhibit correlations of > 0.9 to the S&P 500 Factors show correlations of zero...
