by Nicolas Rabener | Apr 27, 2020 | Uncategorized
Tail Risk Hedge Funds Fix the roof while the sun is shining. April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Tail risk funds tend to be most in demand when they are least attractive Short-term bonds provided similar benefits to tail risk funds...
by Nicolas Rabener | Apr 20, 2020 | Uncategorized
Smart Beta Fixed Income ETFs Better than their Benchmarks? April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor investing in fixed income has been heralded as the next frontier in asset management Smart beta fixed income ETFs in the US manage...
by Nicolas Rabener | Apr 13, 2020 | Uncategorized
Low Vol-Momentum vs Value-Momentum PortfoliosBoring versus Cheap Winners April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Vol-Momentum & Value-Momentum portfolios outperformed stock markets since 1989 Low factor correlations contributed...
by Nicolas Rabener | Apr 6, 2020 | Uncategorized
Factor Olympics Q1 2020And the Winner is… April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYBeta-neutral long-short factors were largely negative during Q1 2020Momentum & Quality are leading the performance leaderboardInvestors were most...
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...
