Nicolas Rabener

FactorResearch

Managing Director @ FactorResearch

Nicolas Rabener is the founder & CEO of FactorResearch. Previously he created Jackdaw Capital, an award-winning quantitative hedge fund, and worked at GIC (Government of Singapore Investment Corporation) and Citigroup in London and New York. Nicolas holds a Master of Finance from HHL Leipzig Graduate School of Management, is a CAIA charter holder, and enjoys endurance sports (100km Ultramarathon).

Nicolas Rabener
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Latest from Nicolas Rabener

Revisiting the Performance of TAA ETFs

There has been a boom in launching tactical asset allocation ETFs. However, the recent track record of these has been poor. Declining stock and bond markets have created a challenging environment for these.
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Nicolas Rabener @ FactorResearch 9 August 2022

Defining Tactical Asset Allocation

Tactical asset allocation ETFs charge high fees (0.92% pa) that need to be justified. The active share of TAA strategies can be measured via regression analysis. High active share does not automatically create value, but offers value-creation potenti...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 2 August 2022

Carbon ETFs: Making Money from Air

Carbon credit prices vary significantly across markets. The price increased by more than 100% since 2020, but it has been highly volatile. Investors can get carbon exposure via ETFs, but applying trend following strategies is sounder.
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Nicolas Rabener @ FactorResearch 26 July 2022

Crypto Tokens: Does Security Selection Matter?

More than 80% of cryptocurrency tokens trade below their first trading price. Tokens are diverse in their functions, but all types have been losing money consistently. Token financing seems to be more beneficial for the issuer than investors.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 12 July 2022

Factor Olympics Q2 2022

Value is the clear winner of YTD 2022. Value, Momentum, and Low Volatility factors were positively correlated, which changed to previous years. The Quality factor performed worst, which can be explained by a bias towards tech stocks.
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Nicolas Rabener @ FactorResearch 5 July 2022

Defensive & Diversifying Strategies in YTD 2022

Most defensive and diversifying strategies generated negative returns in YTD 2022. The correlation of almost all of these strategies to equities was too high 3.Only managed futures generated attractive diversification benefits.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 30 June 2022

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