by Nicolas Rabener | Jan 13, 2025 | Uncategorized
How Much Should You Allocate to Managed Futures? 10%! More? 20%! More? 30%! Even More? January 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs have achieved equities-like returns over the long-term They are excellent diversifiers given low...
by Nicolas Rabener | Nov 11, 2024 | Uncategorized
Combining Risk-Managed Equities and Managed Futures Do you need risk management for equities in a diversified portfolio? November 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Combining equities and managed futures has been an attractive combination...
by Nicolas Rabener | Sep 23, 2024 | Uncategorized
A Review of Global Macro Mutual Funds Investable, but uninvestable. September 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Global macro mutual funds have too much equity exposure High Sharpe ratios do not imply high diversification benefits...
by Nicolas Rabener | Aug 5, 2024 | Uncategorized
What Equity Factor Is Best Combined with Managed Futures? The one with the lowest correlation to CTAs? August 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Managed futures and market-neutral multi-factor portfolios often provided similar risk...
by Nicolas Rabener | Jul 29, 2024 | Uncategorized
Profitability & Leverage of U.S. Sectors How concerned should investors be about rising interest rates & corporate defaults? July 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There were divergent trends in profitability and leverage across...
