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...
by Nicolas Rabener | May 29, 2023 | Uncategorized
Alpha Generation: Equity Generalists vs Sector Specialists And the winner is? May 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Neither equity generalists nor sector specialists have generated alpha on average There is no consistency in alpha...
by Nicolas Rabener | May 1, 2023 | Uncategorized
Upside versus Downside Stocks There is more upside in downside, and more downside in upside stocks than expected. April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stocks can be ranked by their upside and downside betas to the S&P 500 Results...
