by Nicolas Rabener | Feb 22, 2021 | Uncategorized
Alpha Generation: The Search for the Unexplainable Equity Market Neutral Strategies Stripped February 2021. Reading Time: 10 Minutes. Author: Karl Rogers & Nicolas Rabener. This research note is a joint effort of ACE Capital Investments & Finominal. SUMMARY...
by Nicolas Rabener | Feb 19, 2021 | Uncategorized
Market Timing via the VRP? Stock Market Returns and the Variance Risk Premium January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stock market returns were highly positive when the variance risk premium (VRP) was negative Returns were slightly...
by Nicolas Rabener | Feb 19, 2021 | Uncategorized
Oh, Quality, Where Art Thou? Highlighting the reduced upside but full downside capture of quality ETFs January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Quality and quality income ETFs have underperformed the S&P 500 since 2005 The most...
by Nicolas Rabener | Feb 19, 2021 | Uncategorized
Myth-Busting: Low Rates Don’t Justify High Valuations Analyzing interest rates & P/E ratios across stock markets January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY High equity valuations are frequently justified by low interest rates...
by Nicolas Rabener | Jan 11, 2021 | Uncategorized
Factor Exposure Analysis 102: More or Less Independent Variables? The challenges of regression analysis January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are few alternatives to regression analysis when explaining investment performance...
by Nicolas Rabener | Jan 4, 2021 | Uncategorized
Factor Olympics 2020 And the winner is… January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum has been the clear winner across markets in 2020 Value has been the laggard like in recent years Low Volatility ended a 10-year fantastic...
