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 ...
by Nicolas Rabener | Aug 23, 2021 | Uncategorized
Building a Long Volatility Strategy without Using Options – III A systematic approach to creating portfolio protection August 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYLong volatility strategies can be built without using optionsSecurities...
by Nicolas Rabener | Aug 16, 2021 | Uncategorized
Chinese Stocks from a Factor Lens Seeking greener pastures for quant strategies August 2021. Reading Time: 10 Minutes. Author: Bill Yeskel, CFA SUMMARYForeign stock ownership is low in China and the market is dominated by retail investorsThis provides an opportunity...
