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

Are Alternative ETFs Good Diversifiers?

Alternative products with uncorrelated returns do not necessarily provide diversification benefits. Out of 10 alternatives ETFs, only one product improved the Sharpe ratio of a 60/40 portfolio. Correlations should be regarded carefully in fund select...
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Nicolas Rabener @ FactorResearch 7 December 2022

Creating a CTA from Scratch- II

CTAs pursue trends across asset classes, regardless if long or short. 2022 is exceptional as CTAs have more short positions than during the GFC. No single long bond index position remains, fixed income is one big short.
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Nicolas Rabener @ FactorResearch 22 November 2022

Creating a CTA from Scratch

CTAs have become popular again given their positive returns in 2022. However, they are typically difficult to grasp given their ever-changing portfolios. Building a CTA from scratch is not complicated and reduces the opaqueness.
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Nicolas Rabener @ FactorResearch 15 November 2022

Sector & Factor Performance During Wartime

The S&P 500 increased during two of the three largest wars of the United States. Value, size, and momentum factors had positive returns during WW II. The top and worst-performing industries during WW II were diverse.
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Nicolas Rabener @ FactorResearch 10 November 2022

Volatility-based Equity Allocations

The VIX currently trades within its top quartile since 1990. Using volatility to time equity allocations is a widely used strategy. However, it is challenging to pursue this over the long-term.
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Nicolas Rabener @ FactorResearch 2 November 2022

Thematic versus Momentum Investing

Thematic products underperform the stock market on average. The exposure to the momentum factor was low to negative recently. Systematic performance chasing beats performance chasing with a narrative.
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Nicolas Rabener @ FactorResearch 25 October 2022

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