by Nicolas Rabener | Nov 27, 2023 | Uncategorized
Failing to Build High Sharpe Ratio-Portfolios A Sharpe ratio of 1 should be easily achievable, right? November 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY High Sharpe ratios are attractive given consistent returns However, the traditional 60/40...
by Nicolas Rabener | Nov 20, 2023 | Uncategorized
Do-It-Yourself High-Dividend Strategies Generating a high return on capital while not risking the return of capital November 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most high-dividend strategies trade income for capital returns Investors can...
by Nicolas Rabener | Nov 13, 2023 | Uncategorized
Hedge Funds versus Hedge Fund Replication ETFs Clones or cousins? November 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Hedge fund replication ETFs have reasonably well replicated hedge fund index returns The CTA index replication is likely the...
by Nicolas Rabener | Nov 6, 2023 | Uncategorized
CLOs – Diversifier, or another Equity Clone? Investigating Collateralized Loan Obligations November 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Multiple collateralized loan obligation (CLO) ETFs have been launched since 2020 CLOs are...
by Nicolas Rabener | Oct 30, 2023 | Uncategorized
Higher Volatility, Higher Alpha? Theoretically, yes, practically, no October 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Intuitively fund managers should create more alpha when volatility is higher However, neither mutual nor hedge fund managers...
by Nicolas Rabener | Oct 23, 2023 | Uncategorized
Determining the Optimal Benchmark for Funds Ask the asset manager? October 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Identifying the right benchmark for a fund or portfolio can be difficult Many common metrics like correlation or betas do poorly...
