by Nicolas Rabener | Jul 1, 2024 | Uncategorized
Factor Olympics 1H 2024 And the winner is… July 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The losers of last year, ie momentum and low volatility, became the winners of this year Momentum performed the best, size the worst Long-short...
by Nicolas Rabener | Jun 24, 2024 | Uncategorized
CTAs: With or Without Trend Following in Equities? Evaluating the equity risk exposure within managed futures June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs benefitted significantly from pursuing trend following in equities Excluding...
by Nicolas Rabener | Jun 17, 2024 | Uncategorized
Diversifying via Time Zones What happens when you buy a stock from a market that is closed? June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Funds providing the same exposures trade similarly, regardless of where they trade On paper, investors can...
by Nicolas Rabener | Jun 10, 2024 | Uncategorized
Bonds versus CTAs for Diversification Better to lend, or follow the trend? June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Although yields are higher, bonds have also become riskier Bonds and CTAs have generated similar diversification benefits...
by Nicolas Rabener | Jun 3, 2024 | Uncategorized
Measuring Performance Chasing Sell the winners & buy the losers June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Performance chasing can be measured via extreme excess returns Abnormal negative returns lead to subsequent outperformance While...
by Nicolas Rabener | May 27, 2024 | Uncategorized
Carry versus Trend Following Which one will carry you further? May 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The carry strategy has become more attractive given higher yields However, the strategy is highly correlated to equities in periods of...
