by Nicolas Rabener | Aug 24, 2020 | Uncategorized
How Risky Are Value Stocks? Challenging Value as a risk premium strategy August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Value factor is often explained as representing a risk premium or a behavioral bias However, financial analysts regard...
by Nicolas Rabener | Aug 17, 2020 | Uncategorized
Bank Risk Premia Indices: Unbankable? Exploring Factor Investing Across Asset Classes August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Factor investing can be pursued across asset classes Risk premia products sold by investment banks have...
by Nicolas Rabener | Aug 7, 2020 | Uncategorized
Factor Investing in Singapore Exploring the factor exposure of stocks in the Lion City August 2020. Reading Time: 15 Minutes. Author: Nicolas Rabener. This research note was a collaboration with Singapore Exchange (SGX). We appreciate the joint effort and their...
by Nicolas Rabener | Aug 3, 2020 | Uncategorized
Creating Anti-Fragile Portfolios Is Your Portfolio Long or Short Vol? August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most asset classes are bets on economic growth Diversified endowment-style portfolios are essentially short volatility Long...
by Nicolas Rabener | Jul 27, 2020 | Uncategorized
Global Macro: Masters of the Universe? Evaluating the He-Mans of the Investment Industry July 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The alpha of global macro funds has been shrinking consistently over time However, correlations to equities...
by Nicolas Rabener | Jul 20, 2020 | Uncategorized
EM Equities vs Debt: Same, Same, but Different? Evaluating the Lure of Emerging Markets July 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYSome EM asset classes are highly correlated, to the point they can almost be considered interchangeableEM...
