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...
by Nicolas Rabener | Sep 12, 2022 | Uncategorized
Sector vs Factor-based Benchmark Selection Same, same, but different? September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYManager-selected benchmarks are suboptimal as they are not free of conflict of interestsInvestors can use sectors to...
by Nicolas Rabener | Sep 5, 2022 | Uncategorized
Mirror, Mirror on the Wall, which is the Fairest Benchmark of them All? Manager versus factor-based benchmark selection September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Evaluating manager performance is difficult as it requires an appropriate...
by Nicolas Rabener | Jun 20, 2022 | Uncategorized
Factor Exposure Analysis 106: Macro Variables Boosting the R2? June 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most investors treat factor and macro variables differently Including macro variables improves a factor exposure analysis Both should...
