by Nicolas Rabener | Jun 17, 2019 | Uncategorized
A Horse Race of Liquid Alternatives Portfolio Protection via Liquid Alts? June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can access alternative strategies via mutual funds and ETFs Most of these show moderate to high correlations to...
by Nicolas Rabener | Jun 10, 2019 | Uncategorized
The Case Against Small Caps Testing Alternative Metrics to Market Capitalization June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The performance of the Size factor in the US was positive since 1926, but not particularly attractive Returns in...
by Nicolas Rabener | Jun 3, 2019 | Uncategorized
How to Allocate Smartly to Smart Beta Takeaway versus Home-Cooked Investing June 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Single factor excess returns are attractive over the long-term, less in the short-term Comparing popular asset allocation...
by Nicolas Rabener | May 27, 2019 | Uncategorized
Cheap Versus Expensive Countries Value on Country Level May 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A global value portfolio on country level features structural country biases Returns were positive since 1990, but lacked consistency Value on...
by Nicolas Rabener | May 20, 2019 | Uncategorized
Improving the Momentum Factor Can Momentum Be Fixed? May 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe performance of the Momentum factor in the US has been poor since 2000Fundamental valuation spreads were ineffective for improving the...
by Nicolas Rabener | May 13, 2019 | Uncategorized
Hedge Fund ETFs Better than the Originals? May 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Core hedge fund strategies are available as low-cost and transparent ETFs The performance of hedge fund ETFs has been comparable to that of their benchmarks...
