by Nicolas Rabener | Jan 2, 2024 | Uncategorized
Factor Olympics 2023 And the winner is… January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The performance of factors was unexciting and poor in 2023 Quality performed the best, low volatility the worst Low-risk and cheap stocks are...
by Nicolas Rabener | Dec 11, 2023 | Uncategorized
The Illusion of the Small-Cap Premium Small-cap stocks outperform large-cap stocks, right? December 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Small-cap investing is intuitively appealing However, small-caps have underperformed in most markets...
by Nicolas Rabener | Oct 2, 2023 | Uncategorized
Factor Olympics 2023 Q3 And the winner is… October 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most popular factors generated negative excess returns year-to-date Quality stocks performed best, low-risk stocks worst Somewhat surprisingly,...
by Nicolas Rabener | Sep 11, 2023 | Uncategorized
Fixed Income Factors II Style versus traditional fixed income factors September 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are style factors like value and traditional fixed income factors like term premium The correlations of these factors...
by Nicolas Rabener | Sep 4, 2023 | Uncategorized
Fixed Income Factors AQR vs Robeco September 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor investing is less established in bond than in stock markets Comparing AQR & Robeco fixed income factors highlights significant differences...
