by Nicolas Rabener | Oct 18, 2021 | Uncategorized
Long Volatility Strategies: Hedge Funds vs DIY Replicating Masters of the Universe October 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYLong volatility exposure is typically achieved via hedge fundsA simple DIY strategy would have generated...
by Nicolas Rabener | Oct 11, 2021 | Uncategorized
Less Efficient Markets = Higher Alpha? Stock picking is challenging everywhere October 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Emerging market mutual fund managers struggle to outperform EM hedge fund managers failed to generate meaningful...
by Nicolas Rabener | Oct 4, 2021 | Uncategorized
Factor Olympics Q3 2021 And the winner is… October 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY 2021 is shaping up as a year of undifferentiated factor performance Value is the only factor with positive performance in year-to-date 2021 The...
by Nicolas Rabener | Sep 27, 2021 | Uncategorized
This Time It’s Different!? Have retail investors changed markets? September 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYOptions trading has increased to record highsSome data points indicate changes in the market structureHowever, these...
by Nicolas Rabener | Sep 20, 2021 | Uncategorized
Are Stock Markets Becoming More Correlated? Depends on which data you’re looking at. September 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The correlation of stock markets has stopped increasing since the GFC The Value and Momentum factors...
by Nicolas Rabener | Sep 13, 2021 | Uncategorized
Equal vs Market Cap-Weighted Portfolios in Stock Market Crashes And the winner is? September 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There is no consensus whether an equal or market cap-weighted allocation model for stocks is superior Both...
