by Nicolas Rabener | May 29, 2023 | Uncategorized
Alpha Generation: Equity Generalists vs Sector Specialists And the winner is? May 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Neither equity generalists nor sector specialists have generated alpha on average There is no consistency in alpha...
by Nicolas Rabener | May 22, 2023 | Uncategorized
Trend Following in Equities The trend is my friend, right? May 2023 Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long-only trend following in equities was more effective than long-short trend following in the US Same for European and Asian stock markets...
by Nicolas Rabener | May 15, 2023 | Uncategorized
Emerging Market Funds: Same, Same, but Different? Divergent factor exposures May 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Emerging markets offer divergent factor exposures across and within regions Smart beta ETFs do not necessarily offer high...
by Nicolas Rabener | May 5, 2023 | Uncategorized
Finding Funds with Diversification Potential Downside versus upside betas May 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Downside betas do not help to identify diversifying strategies These need to be combined with upside betas Betas to the...
by Nicolas Rabener | May 1, 2023 | Uncategorized
Upside versus Downside Stocks There is more upside in downside, and more downside in upside stocks than expected. April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stocks can be ranked by their upside and downside betas to the S&P 500 Results...
