Monte Carlo Simulations: Forecasting Folly?

Monte Carlo Simulations: Forecasting Folly? What happens in Monte Carlo, should stay in Monte Carlo January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Financial advisors primarily use Monte Carlo simulations to forecast returns However, this...

Trend Following in Bear Markets

Trend Following in Bear Markets Does it work? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Short-only trend following in stocks generated consistent losses across markets However, combining the strategy with an equities portfolio generated...

Getting Value Exposure from Non-Value Funds

Getting Value Exposure from Non-Value Funds Oil, financial, and China ETFs versus value funds January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The factor betas of value-focused ETFs range dramatically Non-value-focused funds can have high betas...

Duration of U.S. Equities

Duration of U.S. Equities How sensitive are stocks to changes in interest rates? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sectors and factors were not very sensitive to changes in interest rates on average However, the averages are...

Factor Olympics 2023

Factor Olympics 2023 And the winner is… January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The performance of factors was unexciting and poor in 2023 Quality performed the best, low volatility the worst Low-risk and cheap stocks are...