by Nicolas Rabener | Nov 9, 2020 | Uncategorized
Market Neutral Funds: Powered by Beta? Evaluating the neutrality of equity market neutral funds November 2020. Reading Time: 10 Minutes. Author: Karl Rogers & Nicolas Rabener. SUMMARY The long-term track record of equity market neutral hedge funds is attractive,...
by Nicolas Rabener | Nov 2, 2020 | Uncategorized
The Dead versus the Living StocksMeasuring the Zombification of Stock Markets Around the World November 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Zombie stocks are a diverse group, both from a country and sector perspective Zombie stocks were...
by Nicolas Rabener | Oct 19, 2020 | Uncategorized
Don’t Get Carried Away by Carry Observing unusual but insightful cross-asset relationships October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Carry across asset classes has not performed strongly over the most recent decade Currency carry...
by Nicolas Rabener | Oct 1, 2020 | Uncategorized
Factor Olympics Q3 2020 And the winner is… October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum & Quality are leading the performance scoreboard in Q1-3 2020 Value & Size generated negative returns, like in recent years, and...
by Nicolas Rabener | Sep 30, 2020 | Uncategorized
Factor Exposure Analysis 101: Linear vs Lasso Regression Testing the effectiveness and sensitivity of linear regressions October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Linear regression is widely used for factor exposure analysis However, a...
by Nicolas Rabener | Sep 28, 2020 | Uncategorized
Does Financial Leverage Make Stocks Riskier? Or asked differently, can companies boost returns via leverage? September 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The leverage of US stocks has been increasing over the last four decades The most...
