Buying Quality: Is the Juice Worth the Squeeze?
Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the [...]
About Nicolas Rabener
Nicolas Rabener is the Managing Director of FactorResearch, which provides quantitative solutions for factor investing. Previously he founded Jackdaw Capital, an award-winning quantitative investment manager focused on equity market neutral strategies. Before that Nicolas worked at GIC (Government of Singapore Investment Corporation) in London focused on real estate investments across the capital structure. He started his career working in investment banking at Citigroup in London and New York. Nicolas holds a Master of Finance from HHL Leipzig Graduate School of Management, is a CAIA charter holder, and enjoys endurance sports (100km Ultramarathon, Mont Blanc, Mount Kilimanjaro).Using “Quality” to Separate Good and Bad Value Stocks
Trying to avoid value traps.
Building Factor Portfolios Based with the Lowest Correlations
INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too [...]
Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
Global Low Volatility and Momentum Factor Investing Portfolios
Betting on Boring Winners
The Case Against REIT’s
Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary [...]
Timing Low Volatility with Factor Valuations
INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data [...]
Purchasing Managers’ Index (PMI) and Factor Performance
A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, [...]
Value, Momentum & Carry Across Asset Classes
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between [...]
Value Investing Portfolios are Not Dead, But Some Have Done Better than Others
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on [...]