by Nicolas Rabener | Nov 28, 2022 | Uncategorized
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...
by Nicolas Rabener | Nov 21, 2022 | Uncategorized
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...
by Nicolas Rabener | Nov 14, 2022 | Uncategorized
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...
by Nicolas Rabener | Nov 7, 2022 | Uncategorized
Sector & Factor Performance During Wartime Better than perhaps expected. November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published by the CFA Institute’s EI blog.SUMMARYThe S&P 500 increased during two of the...
by Nicolas Rabener | Oct 31, 2022 | Uncategorized
Volatility-based Equity Allocations The VIX is high, S&P 500 goodbye? October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The VIX currently trades within its top quartile since 1990 Using volatility to time equity allocations is a widely used...
