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...
by Nicolas Rabener | Jul 13, 2020 | Uncategorized
Cap-Weighted Benchmarks: Good Momentum Bets? No, they are not. July 2020. Reading Time: 10 Minutes. Author: Rodolfo Martell. SUMMARY After strong momentum rallies, investors frequently ask if cap-weighted benchmarks are good Momentum bets Factor exposure analysis...
by Nicolas Rabener | Jul 5, 2020 | Uncategorized
Factor Olympics 1H 2020 And the winner Is… July 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum & Quality are leading the performance scoreboard in 1H 2020 Value & Size generated negative returns, like in recent years Low...
by Nicolas Rabener | Jun 29, 2020 | Uncategorized
The Variance Risk Premium: What Premium? The Challenges of Realizing Theoretical Returns June 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Harvesting the variance risk premium has a sound theoretical foundation However, actual investment products...
by Nicolas Rabener | Jun 22, 2020 | Uncategorized
No Longer Superheroes? The Twilight of Bonds Challenging Core Asset Allocation Assumptions June 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Bonds had superhero qualities over the last few decades The case for bonds in asset allocation is not clear...
