by Nicolas Rabener | Apr 13, 2020 | Uncategorized
Low Vol-Momentum vs Value-Momentum PortfoliosBoring versus Cheap Winners April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Low Vol-Momentum & Value-Momentum portfolios outperformed stock markets since 1989 Low factor correlations contributed...
by Nicolas Rabener | Apr 6, 2020 | Uncategorized
Factor Olympics Q1 2020And the Winner is… April 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYBeta-neutral long-short factors were largely negative during Q1 2020Momentum & Quality are leading the performance leaderboardInvestors were most...
by Nicolas Rabener | Mar 30, 2020 | Uncategorized
Thou Shall Not Short the VIXThou Can Not Short the VIX March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The VIX has not remained at high levels for long in recent times, theoretically making a mean-reversion strategy attractive However, there...
by Nicolas Rabener | Mar 23, 2020 | Uncategorized
Thematic Investing: Thematically Wrong?Performance Chasing with a Narrative March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Thematic investing can be viewed as performance chasing with a narrative A systematic approach to thematic investing...
by Nicolas Rabener | Mar 16, 2020 | Uncategorized
EM Debt: To Hold, or Not to Hold?Exploring the Debt of Emerging Countries and Companies March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Hard currency emerging market debt outperformed local currency EM debt since 2013 EM government and corporate...
by Nicolas Rabener | Mar 11, 2020 | Uncategorized
Minimum Correlation Factor Portfolios The lower the factor correlation, the better? December 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Minimizing factor correlations is a common approach to creating multi-factor portfolios However, the...
