by Nicolas Rabener | Feb 12, 2024 | Uncategorized
Duration of U.S. Equities – II How sensitive are stocks to changes in interest rates? February 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are multiple ways to measure interest rate sensitivities “High-duration” stocks like...
by Nicolas Rabener | Jan 15, 2024 | Uncategorized
Getting Value Exposure from Non-Value Funds Oil, financial, and China ETFs versus value funds January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The factor betas of value-focused ETFs range dramatically Non-value-focused funds can have high betas...
by Nicolas Rabener | Jan 8, 2024 | Uncategorized
Duration of U.S. Equities How sensitive are stocks to changes in interest rates? January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sectors and factors were not very sensitive to changes in interest rates on average However, the averages are...
by Nicolas Rabener | Dec 4, 2023 | Uncategorized
Replicating Funds via S&P 500 & Smart Beta ETFs Is the whole greater than the sum of the parts? December 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Mutual funds and ETFs can be replicated via the S&P 500 and long-short factors An even...
by Nicolas Rabener | Oct 23, 2023 | Uncategorized
Determining the Optimal Benchmark for Funds Ask the asset manager? October 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Identifying the right benchmark for a fund or portfolio can be difficult Many common metrics like correlation or betas do poorly...
