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...
by Nicolas Rabener | Sep 6, 2021 | Uncategorized
Uncovering Disruptive Forces to Stocks using NLP Highlighting the power of natural language processing September 2021. Reading Time: 10 Minutes. Authors: Wachi Bandara, PhD, and, Rodolfo Martell, PhD This research note is a guest post from Wachi Bandara, PhD, Chief...
by Nicolas Rabener | Aug 30, 2021 | Uncategorized
Building an Inflation Portfolio Using Asset Classes Long commodities? August 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY An inflation-proxy portfolio can be created by combining various asset classes Can be implemented efficiently via futures ...
