by Nicolas Rabener | Jun 26, 2017 | Uncategorized
Momentum Factor: Intra vs Cross-SectorMay the Force Be with You… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYIntra vs cross-sector Momentum factor profiles look remarkable similarMomentum is like a force that permeates sectors and...
by Nicolas Rabener | Jun 18, 2017 | Uncategorized
Factor Construction: Beta vs $-NeutralityIs Beta Driving Factor Performance? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactors constructed $-neutral didn’t benefit much from beta-exposure from 2000 to 2017Beta-neutrality is only a must...
by Nicolas Rabener | Jun 11, 2017 | Uncategorized
Market & Factor Volatility Mirror, Mirror, on the Wall… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor volatility mirrors market volatilityMarket volatility is higher than factor volatilityMomentum has higher volatility than...
by Nicolas Rabener | Jun 5, 2017 | Uncategorized
Value & Quality Factor ValuationsWhere is the Value? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue and Quality stocks are typically polar opposites from a valuation perspectiveThe Value factor can be considered cheap across developed...
by Nicolas Rabener | May 29, 2017 | Uncategorized
Value US Sectoral AnalysisWhat’s Under the Hood? May 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Using price-to-book (PB) or price-to-earnings (PE) results in similar Value factor performance Some sectors are perpetually expensive while...
