by Nicolas Rabener | Jul 26, 2021 | Uncategorized
Digital Asset ETFs: Not Crypto Enough? Measuring the cryptocurrency exposure of digital asset ETFs July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYDigital asset ETFs have outperformed tech stocks in recent yearsHowever, they provide no exposure...
by Nicolas Rabener | Jul 19, 2021 | Uncategorized
Myth Busting: Equities are an Inflation Hedge Nominally yes, real no. July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Equities generated attractive nominal returns across all inflation regimes However, real returns were zero when inflation was...
by Nicolas Rabener | Jul 12, 2021 | Uncategorized
Building a Long Volatility Strategy without Using Options A systematic approach to creating portfolio protection July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long volatility strategies can be built without using options Our systematic...
by Nicolas Rabener | Jul 5, 2021 | Uncategorized
Factor Olympics Q2 2021 And the winner is… July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe Q1 2021 factor rotation into Value and Size has reversedValue is the only factor with positive performance in 1H 2021Momentum has generated the...
by Nicolas Rabener | Jun 25, 2021 | Uncategorized
Factor Exposure Analysis: Exploring Residualization Making the independent variables more independent. What? June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYRegression analysis is frequently subject to multicollinearityIndependent variables can be...
by Nicolas Rabener | Jun 21, 2021 | Uncategorized
Avoiding Disasters with Catastrophe Bonds? The hedge fund strategy that never was one June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Catastrophe bonds offered exceptionally high risk-adjusted returns since 2005 These were uncorrelated to...
