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...
by Nicolas Rabener | May 20, 2024 | Uncategorized
Skewness of Funds – Friend or Foe? It’s complicated. May 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Some funds exhibit strong skewness profiles Skewness is highly time-varying and not necessarily a negative criteria Should be measured...
by Nicolas Rabener | May 13, 2024 | Uncategorized
The Case Against Private Markets Who are we fooling with stale valuations? May 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There can be large discrepancies between private and public market valuations Blackstone’s Real Estate Income Trust...
by Nicolas Rabener | Apr 15, 2024 | Uncategorized
The Case Against a Cryptocurrency Allocation Why is the Maldivian Rufiyaa not going to the moon? April 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Bitcoin and Ethereum were often highly correlated to equities Active management in cryptocurrencies...
