by Nicolas Rabener | Aug 19, 2017 | Uncategorized
Value+Quality or High Quality Value Stocks?Factor Portfolio Construction: Double-Sorting vs Combination September 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInvestors can either combine single-factors into a portfolio or sort stocks for several...
by Nicolas Rabener | Aug 16, 2017 | Uncategorized
Smart Beta vs Factors in Portfolio ConstructionSmart Beta Might Not Be So Smart for Portfolios August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInvestors seek smart beta products for risk reductionHowever, smart beta products are effectively...
by Nicolas Rabener | Aug 13, 2017 | Uncategorized
Smart Beta vs Factor ReturnsCousins, not Twins August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYSmart beta ETFs are based on factor investing researchExcess returns from smart beta ETFs are different from factor returnsInvestors need to be aware...
by Nicolas Rabener | Aug 7, 2017 | Uncategorized
Equity Factors In JapanLand of the Rising Alpha? August 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Japan has unique characteristics from an economic perspective Factor performance in Japan mirrors global factor performance Debt & 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...
