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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...

Factor Olympics Q1 2022

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...

Factor Olympics Q4 2021

Factor Olympics Q4 2021  And the winner is… January 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY 2021 was a year of moderate factor performance Value, Quality, and Low Volatility factors generated positive returns Momentum and Size were...