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...
by Nicolas Rabener | Jul 10, 2023 | Uncategorized
Covered Call Strategies Uncovered Trading income for capital returns July 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Covered call strategies aim to offer index-like returns with lower volatility and higher yields They have underperformed their...
by Nicolas Rabener | Jun 12, 2023 | Uncategorized
Diversification versus Hedging II Which one should investors pursue? June 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Ideally diversifying funds are uncorrelated and generate positive returns However, identifying such funds is more challenging...
