by Nicolas Rabener | Sep 12, 2022 | Uncategorized
Sector vs Factor-based Benchmark Selection Same, same, but different? September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYManager-selected benchmarks are suboptimal as they are not free of conflict of interestsInvestors can use sectors to...
by Nicolas Rabener | Sep 5, 2022 | Uncategorized
Mirror, Mirror on the Wall, which is the Fairest Benchmark of them All? Manager versus factor-based benchmark selection September 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYEvaluating manager performance is difficult as it requires an appropriate...
by Nicolas Rabener | Jun 20, 2022 | Uncategorized
Macro Variables in Factor Exposure Analysis Boosting the R2? June 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Most investors treat factor and macro variables differently Including macro variables improves a factor exposure analysis Both should be...
by Nicolas Rabener | Jun 13, 2022 | Uncategorized
Sector versus Factor Exposure Analysis Why do investors prefer factors over sectors? June 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYInvestors tend to talk more about sector than factor performanceHowever, few investors conduct a regression-based...
by Nicolas Rabener | Jun 6, 2022 | Uncategorized
Factor Exposure Analysis of Fixed Income ETFs What is driving the risk & return of bond strategies? June 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor exposure analysis can be used in fixed income as easily as in equitiesMore variables...
