by Nicolas Rabener | Feb 12, 2024 | Uncategorized
Duration of U.S. Equities – II How sensitive are stocks to changes in interest rates? February 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are multiple ways to measure interest rate sensitivities “High-duration” stocks like...
by Nicolas Rabener | Feb 5, 2024 | Uncategorized
HY Bonds = High or Hazardous Yield? Sacrificing return of capital for return on capital February 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The correlation of high yield (HY) to investment-grade (IG) bonds has been increasing HY bonds can simply...
by Nicolas Rabener | Jan 29, 2024 | Uncategorized
Monte Carlo Simulations: Forecasting Folly? What happens in Monte Carlo, should stay in Monte Carlo January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Financial advisors primarily use Monte Carlo simulations to forecast returns However, this...
by Nicolas Rabener | Jan 22, 2024 | Uncategorized
Trend Following in Bear Markets Does it work? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Short-only trend following in stocks generated consistent losses across markets However, combining the strategy with an equities portfolio generated...
by Nicolas Rabener | Jan 15, 2024 | Uncategorized
Getting Value Exposure from Non-Value Funds Oil, financial, and China ETFs versus value funds January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The factor betas of value-focused ETFs range dramatically Non-value-focused funds can have high betas...
by Nicolas Rabener | Jan 8, 2024 | Uncategorized
Duration of U.S. Equities How sensitive are stocks to changes in interest rates? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sectors and factors were not very sensitive to changes in interest rates on average However, the averages are...
