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 103: Exploring Residualization Making the independent variables more independent. What? June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Regression analysis is frequently subject to multicollinearity Independent variables...
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...
by Nicolas Rabener | Jun 14, 2021 | Uncategorized
Mid-Caps – The Hidden Champions? Analyzing the In-Betweener Stocks June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Mid-cap stocks are less popular than small or large caps In the US, they only outperformed in one out of 10 decades Globally,...
by Nicolas Rabener | Jun 7, 2021 | Uncategorized
Liquid Alt Juggernauts: Worth their Salt? Nope. June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Liquid alternative mutual funds only captured 10% of the market share from hedge funds The alpha generated since 2013 was essentially zero Long-short...
