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 […]
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, […]
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 is the managing director of FactorResearch, one of London's foremost research firms specialising in factor investing. Previously he founded Jackdaw Capital, a quantitative investment manager focused on market neutral strategies. He holds an MS in management from HHL Leipzig Graduate School of Management and is a CAIA charter holder.