by Nicolas Rabener | Dec 1, 2025 | Uncategorized
Myth-Busting: The Profitability Factor Is Profitable What makes ROE so unique? December 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Selecting U.S. stocks on profitability metrics failed to generate excess returns Only return-on-equity produced...
by Nicolas Rabener | Nov 24, 2025 | Uncategorized
Replicating Capital-Efficient Funds Unstacking returns November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Capital-efficient funds use leverage to cover core portfolio allocations The residual cash can be used for alternatives These funds can be...
by Nicolas Rabener | Nov 17, 2025 | Uncategorized
Impact of Lookback Period on Momentum Factor What is the optimal lookback period? November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Momentum can be measured over various lookback periods The optimal lookback remains between six and 12 months...
by Nicolas Rabener | Nov 10, 2025 | Uncategorized
Factor Exposure Analysis 117: Risk Contribution Analysis Intuitive vs quant risk reports November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The choice of indices and regression type leads to different risk contributions Technically, most risk of...
by Nicolas Rabener | Nov 3, 2025 | Uncategorized
Factor Exposure Analysis 116: Residualized Indices Orthogonalizing independent variables November 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most country and sector indices are highly correlated Residualization can be used for a better risk...
