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...
by Nicolas Rabener | Oct 27, 2025 | Uncategorized
Sensitivity Analysis 101 How sensitive is sensitivity analysis? October 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Sensitivity analysis can highlight portfolio risks However, it is sensitive to data availability and assumptions Focusing on tail...
by Nicolas Rabener | Oct 20, 2025 | Uncategorized
Diversification with Cat Bonds? Harvesting insurance premiums October 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors can now access catastrophe bonds through mutual funds and ETFs They have offered impressive returns with minimal drawdowns...
by Nicolas Rabener | Oct 13, 2025 | Uncategorized
Private Equity Performance Tracker: Q3 2025 PE vs. equities – and the winner is? October 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Public equities have outperformed PE funds YTD However, the medium-term outlook favors PE funds Correlations...
by Nicolas Rabener | Oct 6, 2025 | Uncategorized
Factor Olympics Q3 2025 And the winner is… October 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The momentum factor increased its leadership position The low volatility factor moved from second-best to worst performance Market-neutral factor...
