by Nicolas Rabener | Aug 2, 2021 | Uncategorized
Building a Long Volatility Strategy without Using Options – II A systematic approach to creating portfolio protection August 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long volatility strategies can be built without using options Portfolios...
by Nicolas Rabener | Jul 12, 2021 | Uncategorized
Building a Long Volatility Strategy without Using Options A systematic approach to creating portfolio protection July 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Long volatility strategies can be built without using options Our systematic...
by Nicolas Rabener | Feb 19, 2021 | Uncategorized
Market Timing via the VRP? Stock Market Returns and the Variance Risk Premium January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Stock market returns were highly positive when the variance risk premium (VRP) was negative Returns were slightly...
by Nicolas Rabener | Jun 29, 2020 | Uncategorized
The Variance Risk Premium: What Premium? The Challenges of Realizing Theoretical Returns June 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Harvesting the variance risk premium has a sound theoretical foundation However, actual investment products...
by Nicolas Rabener | Jun 8, 2020 | Uncategorized
Musings on Low Volatility Has minimum volatility minimized volatility in 2020? June 2020. Reading Time: 10 Minutes. Author: Rodolfo Martell. SUMMARY The Low Volatility strategy failed to protect investors in March and April 2020 Industrials & materials generated...
