by Nicolas Rabener | Mar 16, 2025 | Uncategorized
Factor Exposure Analysis 112: Quality vs Growth Factors What equity factors should be used in a factor exposure analysis? March 2025. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The number of independent factors in a factor exposure analysis is...
by Nicolas Rabener | Mar 9, 2025 | Uncategorized
Factor Exposure Analysis 111: What is Alpha? Comparing different alpha calculation methodologies March 2025. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Jensen’s alpha methodology is popular, but has several drawbacks There is no perfect methodology, but...
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...
