Improving Smart Beta Attribution Analysis II

Improving Smart Beta Attribution Analysis II Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Attribution analysis is important for understanding the risk and return drivers of a...

Improving Smart Beta Attribution Analysis

Improving Smart Beta Attribution Analysis Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Return contribution analysis helps understand the different return drivers and measure...

Factor Exposure Analysis 102

Factor Exposure Analysis 102 Finding the optimal regression method for factor exposure analysis October 2024. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Different regression techniques can be used to measure factor exposures Linear regression provides...

Duration of U.S. Equities – II

Duration of U.S. Equities – II How sensitive are stocks to changes in interest rates? February 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There are multiple ways to measure interest rate sensitivities “High-duration” stocks like...

Getting Value Exposure from Non-Value Funds

Getting Value Exposure from Non-Value Funds Oil, financial, and China ETFs versus value funds January 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The factor betas of value-focused ETFs range dramatically Non-value-focused funds can have high betas...