by Nicolas Rabener | Oct 3, 2022 | Uncategorized
Factor Olympics Q3 2022 And the winner is… October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value is leading the performance scoreboard in YTD 2022 Low volatility is the worst-performing factor Oddly, the value and low volatility factors...
by Nicolas Rabener | Sep 26, 2022 | Uncategorized
How Much Can You Lose with Bonds? A lot. September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYBonds are typically considered safe investmentsHowever, there were decades of negative real returnsDrawdowns reached 50% for U.S. Treasuries and...
by Nicolas Rabener | Sep 19, 2022 | Uncategorized
Inflation-Linked Bonds for Inflationary Periods? Interest rate versus inflation rate sensitivity September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInflation-linked bonds are considered inflation-hedgesHowever, these have lost almost as much as...
by Nicolas Rabener | Sep 12, 2022 | Uncategorized
Sector vs Factor-based Benchmark Selection Same, same, but different? September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYManager-selected benchmarks are suboptimal as they are not free of conflict of interestsInvestors can use sectors to...
by Nicolas Rabener | Sep 5, 2022 | Uncategorized
Mirror, Mirror on the Wall, which is the Fairest Benchmark of them All? Manager versus factor-based benchmark selection September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Evaluating manager performance is difficult as it requires an appropriate...
by Nicolas Rabener | Aug 29, 2022 | Uncategorized
What is wrong with Inverse ETFs? Double-edged swords cut both ways August 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Inverse ETFs come with significant risk disclosure Analyzing the performance of these products justifies the warnings There is a...
