by Nicolas Rabener | Oct 31, 2022 | Uncategorized
Volatility-based Equity Allocations The VIX is high, S&P 500 goodbye? October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The VIX currently trades within its top quartile since 1990 Using volatility to time equity allocations is a widely used...
by Nicolas Rabener | Oct 24, 2022 | Uncategorized
Thematic versus Momentum Investing Performance chasing with a narrative versus systematic performance chasing October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThematic products underperform the stock market on averageThe exposure to the momentum...
by Nicolas Rabener | Oct 17, 2022 | Uncategorized
Is the Carry Trade a Diversifying Strategy? Only if you have zero equity exposure. October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe carry trade was positive across most asset classes in YTD 2022The correlations to the S&P 500 were low...
by Nicolas Rabener | Oct 10, 2022 | Uncategorized
Managed Futures: The Empire Strikes Back Evaluating managed futures ETFs October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The AUM in managed futures ETFs has increased six-fold to $1.2bn in 2022 However, the performance of these ETFs was highly...
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...
