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. SUMMARY There are few alternatives to regression analysis when explaining investment performance Too 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. SUMMARY Linear regression is widely used for factor exposure analysis However, a high R2 and low p-value can...
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,...
by Nicolas Rabener | Apr 22, 2019 | Uncategorized
Replicating Famous Hedge Funds Do Hedge Funds Generate Alpha or Simply Provide Factor Exposure? April 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Diverse hedge fund strategies can be replicated via factor-mimicking portfolios The analysis...
by Nicolas Rabener | Apr 15, 2019 | Uncategorized
Warren Buffett: The Greatest Factor Investor of All Time? How Much Alpha Did Warren Buffett Generate? April 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY A factor exposure of Berkshire Hathaway reveals structural factor tilts Long Value, Size,...
