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...
by Nicolas Rabener | Apr 24, 2023 | Uncategorized
Downside Betas vs Downside Correlations Quantifying the diversification benefits of alternative strategies April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors typically use correlation to identify diversifying strategies, but the metric...
by Nicolas Rabener | Apr 10, 2023 | Uncategorized
The Alpha Games: Technology Funds And the winners are… April 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY US tech funds underperformed their benchmark indices by 4% between 2018 and 2022 The factor contributions were marginal This resulted in...
