by Nicolas Rabener | Oct 7, 2019 | Uncategorized
Low Volatility vs Option-Based Strategies Core Equity Alternatives October 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Option-based strategies have similar characteristics to Low Volatility portfolios Combining these reduces idiosyncratic strategy...
by Nicolas Rabener | Oct 1, 2019 | Uncategorized
Factor Olympics Q3 2019 And the Winner is… October 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most factors generated positive returns in Q1-3 2019 Low Volatility produced the best and Value the worst performance year-to-date The factor...
by Nicolas Rabener | Sep 23, 2019 | Uncategorized
Smart Beta vs Alpha + Beta Simplifying Equity Portfolios September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investment portfolios can be simplified by separating alpha from beta Alpha + beta portfolios offer higher risk-adjusted returns than...
by Nicolas Rabener | Sep 16, 2019 | Uncategorized
Is Low Vol the New Value? Same, Same, but Different September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Low Volatility factor exhibited significant exposure to Value since 1989 The factors were highly correlated in the 1990s, but less after...
by Nicolas Rabener | Sep 9, 2019 | Uncategorized
Hedging via Managed Futures Liquid Alts Exploring Low-Cost, Tradable CTAs September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Managed futures strategies provided attractive diversification benefits during the financial crisis The strategies have...
