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

Mid-Caps – The Hidden Champions?

Mid-cap stocks are less popular than small or large caps. In the US, they only outperformed in one out of 10 decades. Globally, they have done better, creating a conundrum for investors.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 14 June 2021

ESG INVESTING: TOO GOOD TO BE TRUE?

ESG factors generated positive excess returns since 2009. Show positive exposure to Low Volatility & Quality and negative exposure to Value & Size. Factor exposure is likely structural and not temporary.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 11 June 2021

AN ANATOMY OF SMART BETA VALUE ETFS

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 factor returns.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 10 June 2021

CORPORATE DEBT IN THE CHINESE STOCK MARKET

1.China exhibits the world’s highest corporate debt as % of GDP 2. However, Chinese stocks are not significantly more levered than U.S. stocks 3. Asset and debt growth has stalled in 2018, likely indicating an economic slowdown  
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 9 June 2021

Liquid Alt Juggernauts: Worth their Salt?

Liquid alternative mutual funds only captured 10% of the market share from hedge funds. The alpha generated since 2013 was essentially zero. Long-short equity funds can be replicated simply via market beta + cash.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 7 June 2021

The Case Against EM Equities

EM equities are highly correlated to US stocks & high yield bonds, limiting diversification benefits. They outperform primarily when the USD is depreciating, making it a currency play. The largest MSCI EM index members will experience 50% population....
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 2 June 2021

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