Factor Olympics 2022

Factor Olympics 2022  And the winner is… January 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY 2022 is the best year for factor investing over the last decade Value generated the best and size the worst return in 2022 Despite the strong...

Is the Carry Trade a Diversifying Strategy?

Is the Carry Trade a Diversifying Strategy? Only if you have zero equity exposure. October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe carry trade was positive across most asset classes in YTD 2022The correlations to the S&P 500 were low...

Factor Olympics Q3 2022

Factor Olympics Q3 2022  And the winner is… October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value is leading the performance scoreboard in YTD 2022 Low volatility is the worst-performing factor Oddly, the value and low volatility factors...

Outperformance Ain’t Alpha

Outperformance Ain’t Alpha If you can explain it, you can replicate it more cheaply August 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Outperformance and alpha are not the same One is the difference from a benchmark, the other is the...

Factor Olympics Q2 2022

Factor Olympics Q2 2022  And the winner is… July 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value is the clear winner of YTD 2022 Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous years The...