The Pitfalls of Portfolio Optimization

The Pitfalls of Portfolio Optimization Beware of the man selling high Sharpe portfolios June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sharpe ratio-optimized multi-asset portfolios deteriorate significantly out-of-sample Targeting volatility...

Evaluating Metrics for Fund Selection

Evaluating Metrics for Fund Selection Morningstar vs Lipper vs S&P Capital IQ… June 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The most popular fund selection metrics have no predictive power Unsurprisingly, fees matter Fund selection...

Top vs Bottom Ranked Factor Portfolios

Top vs Bottom-Ranked Factor Portfolios Do you need to own the highest-ranked stocks? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively, factor exposures should be maximized when seeking outperformance While this is true for momentum, it...