by Nicolas Rabener | Oct 7, 2024 | Uncategorized
What´s Better than the S&P 500? A review of core equity funds October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Only 23.7% of U.S. core equity funds have generated a higher Sharpe ratio than the S&P 500 Some of these are cheaper, others...
by Nicolas Rabener | Feb 19, 2024 | Uncategorized
Absolute versus Relative Momentum Across Asset Classes Is the trend your friend? February 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Absolute and relative momentum can be used as simple asset allocation frameworks Both would have generated a...
by Nicolas Rabener | Jan 29, 2024 | Uncategorized
Monte Carlo Simulations: Forecasting Folly? What happens in Monte Carlo, should stay in Monte Carlo January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Financial advisors primarily use Monte Carlo simulations to forecast returns However, this...
by Nicolas Rabener | Jan 22, 2024 | Uncategorized
Trend Following in Bear Markets Does it work? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Short-only trend following in stocks generated consistent losses across markets However, combining the strategy with an equities portfolio generated...
by Nicolas Rabener | Nov 27, 2023 | Uncategorized
Failing to Build High Sharpe Ratio-Portfolios A Sharpe ratio of 1 should be easily achievable, right? November 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY High Sharpe ratios are attractive given consistent returns However, the traditional 60/40...
