Factor Construction: Beta vs $-Neutrality

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...

Market & Factor Volatility

Market & Factor Volatility Mirror, Mirror, on the Wall… June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor volatility mirrors market volatility Market volatility is higher than factor volatility Momentum has higher volatility than...

Value & Quality Factor Valuations

Value & Quality Factor ValuationsWhere is the Value? June 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value and Quality stocks are typically polar opposites from a valuation perspective The Value factor can be considered cheap across developed...

Value US Sectoral Analysis

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...

Size Factor

Size Factor Is Small Cap Exposure Worth It? May 2017. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Size as a factor shows little consistency in generating positive returns over time Investors do not seem to get compensated for the higher risks of holding...