by Nicolas Rabener | Jan 27, 2025 | Uncategorized
Factor Exposure Analysis 110: Long-Short vs Long-Only Factors Long-short versus long-only factors January 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The belief in factor investing is based on research featuring long-short factors However, almost...
by Nicolas Rabener | Dec 9, 2024 | Uncategorized
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...
by Nicolas Rabener | Dec 2, 2024 | Uncategorized
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...
by Nicolas Rabener | Oct 14, 2024 | Uncategorized
Factor Exposure Analysis 109: Linear vs Lasso vs Elastic Net 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...
by Nicolas Rabener | Feb 12, 2024 | Uncategorized
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...
