by Nicolas Rabener | Mar 14, 2022 | Uncategorized
Risk-Managed Equity Exposure Can we de-risk market downturns? February 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Risk management overlays tend to reduce stock market returns However, they also can reduce drawdowns and increase Sharpe ratios...
by Nicolas Rabener | Mar 7, 2022 | Uncategorized
Commodities vs Commodity ETFs Good or bad proxies? March 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe average correlation between oil and oil ETFs was only 0.8Gold ETFs provide better exposure to gold than oil ETFs to oilGold mining stocks are...
by Nicolas Rabener | Feb 28, 2022 | Uncategorized
Momentum in Emerging Markets Reality < Theory February 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long-short momentum investing highlights attractive performance in Asia and emerging markets However, realized excess returns are significantly...
by Nicolas Rabener | Feb 21, 2022 | Uncategorized
Why Are All Illiquid Alts Outperforming? Data manipulation is a superpower February 2022. Reading Time: 10 Minutes. Author: George Aliferis. This research note is a guest post from George Aliferis, CAIA, who runs InvestOrama, a content platform that explores the...
by Nicolas Rabener | Feb 14, 2022 | Uncategorized
FX Trading: A Losers’ Game? It’s a shark tank, and if you ain’t the shark… February 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY FX hedge funds on average have produced zero alpha since 2007 Popular risk premia strategies have...
by Nicolas Rabener | Feb 7, 2022 | Uncategorized
Smart Money, Crowd Intelligence, and AI Using human and artificial intelligence to beat the S&P 500 February 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Smart money, crowd intelligence, and AI ETFs have underperformed the S&P 500 since...
