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 | May 12, 2025 | Uncategorized
Factor Exposure Analysis 115: Measuring International Exposures Should correlated independent variables be avoided? May 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Variables used in a factor exposure analysis should be uncorrelated However, adding...
by Nicolas Rabener | Apr 14, 2025 | Uncategorized
Factor Exposure Analysis 114: Factor Offsetting Better to bet on fewer rather than many factors April 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Many factors feature structural negative correlations to others Combining smart beta strategies often...
by Nicolas Rabener | Mar 24, 2025 | Uncategorized
Factor Exposure Analysis 113: Profitability vs Leverage Factors What quality and growth factors should investors be using in a factor exposure analysis? March 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Funds’ factor betas change when using...
