by Nicolas Rabener | Mar 30, 2020 | Uncategorized
Thou Shall Not Short the VIXThou Can Not Short the VIX March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The VIX has not remained at high levels for long in recent times, theoretically making a mean-reversion strategy attractive However, there...
by Nicolas Rabener | Mar 23, 2020 | Uncategorized
Thematic Investing: Thematically Wrong?Performance Chasing with a Narrative March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Thematic investing can be viewed as performance chasing with a narrative A systematic approach to thematic investing...
by Nicolas Rabener | Mar 16, 2020 | Uncategorized
EM Debt: To Hold, or Not to Hold?Exploring the Debt of Emerging Countries and Companies March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Hard currency emerging market debt outperformed local currency EM debt since 2013 EM government and corporate...
by Nicolas Rabener | Mar 11, 2020 | Uncategorized
Minimum Correlation Factor Portfolios The lower the factor correlation, the better? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Minimizing factor correlations is a common approach to creating multi-factor portfolios However, the...
by Nicolas Rabener | Mar 9, 2020 | Uncategorized
LOVM Portfolios Around the World Betting On Boring Winners March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Volatility-Momentum portfolios outperformed markets across regions over the last 30 years The combination model generated consistently...
