by Nicolas Rabener | Feb 13, 2023 | Uncategorized
What’s My International Exposure? Comparing top-down vs bottom-up approaches February 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The S&P 500 has meaningful exposure to international markets Measuring geographical exposure can be done...
by Nicolas Rabener | Jan 16, 2023 | Uncategorized
Beta in Beta-Neutral Factors? The illusion of uncorrelated returns January 2023 Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Beta-neutral value, momentum, and low volatility factors are currently highly correlated to the S&P 500 The correlation is...
by Nicolas Rabener | Nov 28, 2022 | Uncategorized
Replicating a CTA via Factor Exposures Possible? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Strategies can be copied by recreating them from scratch or using factor exposures CTAs can be replicated via factor exposure analysis by...
by Nicolas Rabener | Nov 21, 2022 | Uncategorized
Creating a CTA from Scratch- II What is driving CTA performance? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs pursue trends across asset classes, regardless if long or short 2022 is exceptional as CTAs have more short positions than...
by Nicolas Rabener | Nov 14, 2022 | Uncategorized
Creating a CTA from Scratch How sophisticated are managed futures strategies? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs have become popular again given their positive returns in 2022 However, they are typically difficult to grasp...
