Nicolas Rabener

FactorResearch

Managing Director @ FactorResearch

Nicolas Rabener is the founder & CEO of FactorResearch. Previously he created Jackdaw Capital, an award-winning quantitative hedge fund, and worked at GIC (Government of Singapore Investment Corporation) and 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).

Nicolas Rabener
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Latest articles from Nicolas Rabener

QUANT STRATEGIES IN THE CRYPTOCURRENCY SPACE

Cryptocurrencies have reached a market capitalisation of > $150bn. Backtesting quantitative strategies is difficult given a limited trading history & universe. Short-term Momentum works very well, classic factor investing strategies less so.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 16 September 2021

FACTOR RETURNS: YEAR-END CALENDAR EFFECTS

Value & Size generate abnormally large positive returns in January, Momentum negative returns. Abnormal returns are limited to the last week of December and first week of January. Difficult to harvest these returns efficiently due to illiquidity of m...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 15 September 2021

MULTI-FACTOR MODELS 101

Three common approaches for creating multi-factor portfolios are the Combination, the Intersectional and the Sequential models. The results from the Combination and Intersectional models are comparable in terms of trend. Each model has its own advant...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 14 September 2021

Equal vs Market Cap-Weighted Portfolios in Stock Market Crashes

There is no consensus whether an equal or market cap-weighted allocation model for stocks is superior. Both generated similar drawdowns during stock market crashes on average. Theoretically, equal-weight is superior, but practically cap-weighted.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 September 2021

FACTOR CONSTRUCTION: PORTFOLIO SCENARIOS

Most researchers create factor portfolios by taking the top & bottom 30% of stocks, which results in large portfolios. Portfolios can be reduced, but firm risks start influencing factor returns with too few stocks. Most investors are likely better of...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 10 September 2021

INTERSECTIONAL MODEL: SORTING BY 7 FACTORS

Focusing purely on Value is a difficult strategy. Sorting by multiple factors improves performance and risk-metrics. However, factor selection and allocation remain challenging topics.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 9 September 2021

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