by Nicolas Rabener | Aug 16, 2022 | Uncategorized
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...
by Nicolas Rabener | Jul 4, 2022 | Uncategorized
Factor Olympics Q2 2022 And the winner is… July 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYValue is the clear winner of YTD 2022Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous yearsThe...
by Nicolas Rabener | Apr 11, 2022 | Uncategorized
Trend Following & Factor Investing – Unexpected Cousins? Questioning diversification benefits April 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Trend following and beta-neutral factor investing are considered diversifying strategies...
by Nicolas Rabener | Apr 4, 2022 | Uncategorized
Factor Olympics Q1 2022 And the winner is… April 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor volatility was low despite the significant geopolitical and economic turmoil in Q1 2022 Value is the clear winner with double-digit gains...
by Nicolas Rabener | Jan 3, 2022 | Uncategorized
Factor Olympics Q4 2021 And the winner is… January 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY2021 was a year of moderate factor performance Value, Quality, and Low Volatility factors generated positive returnsMomentum and Size were...
