by Nicolas Rabener | Jun 16, 2025 | Uncategorized
The Pitfalls of Portfolio Optimization Beware of the man selling high Sharpe portfolios June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sharpe ratio-optimized multi-asset portfolios deteriorate significantly out-of-sample Targeting volatility...
by Nicolas Rabener | Jun 2, 2025 | Uncategorized
Building Better High Yield Portfolios – III Balancing diversification and yield June 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most yield strategies generated lower returns and Sharpe ratios than the S&P 500 Furthermore, most of these...
by Nicolas Rabener | Apr 21, 2025 | Uncategorized
Micro Cap or Micro Crap Stocks? The endless quest for hidden gems in the stock market April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Small-cap stocks have struggled to outperform since Banz’s 1981 study on the size factor Micro-cap stocks...
by Nicolas Rabener | Oct 28, 2024 | Uncategorized
Top Fee Generating, Wealth Creating and Destroying ETFs Documenting the wealth destruction of thematic investing October 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Market exposure ETFs generated the largest fees and shareholder wealth Thematic...
by Nicolas Rabener | May 6, 2024 | Uncategorized
Building Better High Yield Portfolios – II Balancing diversification and yield May 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The higher the yield, the lower the total return on average Combining the highest yielding strategies leads to...
