by Nicolas Rabener | Jun 25, 2021 | Uncategorized
Factor Exposure Analysis: Exploring Residualization Making the independent variables more independent. What? June 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYRegression analysis is frequently subject to multicollinearityIndependent variables can be...
by Nicolas Rabener | Apr 12, 2021 | Uncategorized
Time Machines for Investors Investing is all about time traveling April 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Investors are challenged when evaluating investment opportunities with limited track records Factor exposure analysis can be used...
by Nicolas Rabener | Jan 11, 2021 | Uncategorized
Musings About Factor Exposure Analysis The challenges of regression analysis January 2021. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThere are few alternatives to regression analysis when explaining investment performanceToo few as well as too many...
by Nicolas Rabener | Sep 30, 2020 | Uncategorized
Factor Exposure Analysis 101 Testing the effectiveness and sensitivity of linear regressions October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYLinear regression is widely used for factor exposure analysisHowever, a high R2 and low p-value can be...
by Nicolas Rabener | Oct 28, 2019 | Uncategorized
The Complexity of Factor Exposure Analysis Searching for Truth October 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYFactor exposure analysis is essential for performance and risk contributionHowever, the results vary depending on methodologies,...
