by Nicolas Rabener | Oct 17, 2022 | Uncategorized
Is the Carry Trade a Diversifying Strategy? Only if you have zero equity exposure. October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe carry trade was positive across most asset classes in YTD 2022The correlations to the S&P 500 were low...
by Nicolas Rabener | Oct 3, 2022 | Uncategorized
Factor Olympics Q3 2022 And the winner is… October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value is leading the performance scoreboard in YTD 2022 Low volatility is the worst-performing factor Oddly, the value and low volatility factors...
by Nicolas Rabener | Aug 16, 2022 | Uncategorized
Outperformance Ain’t Alpha If you can explain it, you can replicate it more cheaply August 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Outperformance and alpha are not the same One is the difference from a benchmark, the other is the...
by Nicolas Rabener | Jul 4, 2022 | Uncategorized
Factor Olympics Q2 2022 And the winner is… July 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Value is the clear winner of YTD 2022 Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous years The...
by Nicolas Rabener | Apr 11, 2022 | Uncategorized
Trend Following & Factor Investing – Unexpected Cousins? Questioning diversification benefits April 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Trend following and beta-neutral factor investing are considered diversifying strategies...
