Are Alternative ETFs Good Diversifiers?

Are Alternative ETFs Good Diversifiers? Uncorrelated returns are not a panacea December 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Alternative products with uncorrelated returns do not necessarily provide diversification benefits Out of 10...

Replicating a CTA via Factor Exposures

Replicating a CTA via Factor Exposures Possible? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Strategies can be copied by recreating them from scratch or using factor exposures CTAs can be replicated via factor exposure analysis by...

Creating a CTA from Scratch – II

Creating a CTA from Scratch- II What is driving CTA performance? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs pursue trends across asset classes, regardless if long or short 2022 is exceptional as CTAs have more short positions than...

Creating a CTA from Scratch

Creating a CTA from Scratch How sophisticated are managed futures strategies? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs have become popular again given their positive returns in 2022 However, they are typically difficult to grasp...