Nicolas Rabener @Finominally
Drive your investment success with intelligent analytics. finominal.com London, England Joined May 2017-
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Finominal's index library now covers hedge fund strategies and fixed income risk factors. The new hedge fund indices span equity market neutral, managed futures, merger arbitrage, multi-strategy, global macro, event-driven, and long-short equity. The fixed income factor indices cover duration, IG and HY credit spreads, MBS spreads, inflation, and EM spreads across most markets. Whether you are attributing hedge fund performance, analyzing fixed income risk exposures, or stress-testing a multi-asset portfolio against rate and credit scenarios, these indices provide the reference points you need. Fully integrated into our analytics platform and included at no additional cost. finominal.com/custom-indices
Diversification vs De-Risking: Evidence across Asset Classes. Do bonds diversify or only de-risk? insights.finominal.com/research-diver…
The analysis suggests that the diversifiers have not created much value, but this is partially a function of including a leveraged equity allocation, which offers a higher return, but poorer risk-adjusted returns than unleveraged equity given the characteristics of leveraged products. If we replace this 50% allocation with the S&P 500, the all-weather portfolio has generated higher returns (9.7% vs 9.6%) and a higher Sharpe ratio (0.85 vs 0.78) than the traditional equity/bond portfolio. Stated differently, investors do not need bonds in their portfolios for diversification. finominal.com/asset-comparer…
How does the all-weather portfolio compare to a 60/40 portfolio? Finally, we compare the all-weather portfolio to a traditional 60/40 portfolio over the 16-year track record. The portfolio has outperformed, as expected, given that it proxies the S&P 500, but it has not generated a higher Sharpe ratio (0.74 vs 0.78). finominal.com/asset-comparer…
Portfolio Review: Leveraged Equity + Diversifiers Portfolio - II. Introduction: Our last portfolio review focused on a client's portfolio that used a leveraged equity ETF and diversifiers to create an all-weather portfolio. Unfortunately, some of the funds were launched only in recent years, which meant we had only a 5-year track record for analysis. Some readers asked us to extend the track record, which we have done by using a portfolio with the same allocations but with funds with more history. What are the holdings? The portfolio has a 16-year track record and allocates to leveraged equity (50%), gold (15%), equity market-neutral (15%), and managed futures funds (20%). These funds were chosen exclusively for their long track records. finominal.com/portfolio-anal…
We are pleased to introduce our enhanced Risk Analytics suite, offering intuitive yet rigorous risk-and-return contribution, alpha analysis, holdings-based contributions, correlations, scenario and sensitivity analyses. Drawing on Finominal's library of 1,000+ indices and machine learning techniques, the suite provides clarity on what is driving the performance and risk of a fund or portfolio - at a fraction of the cost of traditional providers such as MSCI and Axioma. finominal.com/fund-analyzer/…
Buy-the-Dip: Viable Strategy or Fallacy? Does fortune favor the bold? insights.finominal.com/research-buy-t…
Can we replicate the fund? Yes, we can create a proxy portfolio using the MSCI World (70%), gold (15%), and cash (15%), mirroring SGIIX's investment strategy. The replication portfolio would have generated a higher CAGR and a slightly higher Sharpe ratio. However, it only costs 0.25% vs 0.86% for SGIIX. finominal.com/asset-comparer…
How has the fund performed in periods of market stress? We observe that SGIIX had consistently lower drawdowns during periods of market stress compared to the MSCI World Index. Given meaningful cash and gold allocations, this is to be expected. finominal.com/fund-analyzer-…
Product Review: First Eagle's $75bn Global Fund (SGIIX). What is the fund's strategy and performance? The fund has a track record going back to 1970 and provides exposure to global equities via a concentrated stock portfolio, plus a structural 10-20% position in gold and a similar allocation to cash for opportunistic investing. SGIIX's factsheet features the MSCI World Index as the benchmark and has outperformed it since the share class's launch in 1998. finominal.com/fund-analyzer-…
We are excited to introduce our AI Document Reader, which instantly converts client brokerage statements into portfolios, ready for further analysis on Finominal. It also works for returns from fund fact sheets and unstructured text from emails. Spend less time on processing data and more time on generating insights. finominal.com/statement-read…
@stevenroge421 VT isn't ideal either, as it includes EM, but BLNDX does not have EM exposure, just developed markets. So the MSCI World Index (URTH) seems more adequate. finominal.com/asset-comparer…
Portfolio Review: Leveraged Equity + Diversifiers Portfolio. What are the current holdings? This portfolio was sent by a client, who kindly agreed to our showcasing it. The portfolio aims to be an all-weather portfolio that uses leveraged equities to make more room for a higher allocation to diversifying strategies. It does not include bonds. The largest allocation is to a 2x leveraged S&P 500 ETF (SSO, 50%), followed by the AQR Equity Market Neutral Fund (QMNIX, 15%) and gold (GLDM, 10%). The remaining funds mostly represent CTAs / managed futures funds. The portfolio is expensive at 0.93% pa. finominal.com/portfolio-anal…
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