Nicolas Rabener's Articles

Why value ETFs continue to fail

by , 14th January 2019

Summary Smart beta Value ETFs are relatively homogenous Some show high exposures to other equity factors, which may represent risk Excess returns from smart beta are significantly lower than long-short […]
Nicolas Rabener

The private equity mirage

by , 18th December 2018

Summary Private equity returns can be replicated with small cap equities Small, cheap and levered stocks would have achieved higher returns since 1988 Valuation and debt multiples are at all-time-highs, […]
Nicolas Rabener

Helping smart beta by reducing turnover

by , 26th November 2018

Summary Portfolio turnover of equity factors can be reduced significantly¬†by trading more conservatively However, reducing turnover does not necessarily increase risk-return ratios It all depends on transaction costs Introduction Turnover […]
Nicolas Rabener

Improving the odds of value

by , 1st November 2018

[This is the second article in our series about making value investing work.] Summary Value investors earn a premium for holding undesirable stocks Market skewness may identify periods where the […]