by Nicolas Rabener | Sep 30, 2020 | Uncategorized
Factor Exposure Analysis 101: Linear vs Lasso Regression 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...
by Nicolas Rabener | Oct 28, 2019 | Uncategorized
Factor Exposure Analysis 100: Holdings vs Regression-Based 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...
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,...
by Nicolas Rabener | Dec 10, 2018 | Uncategorized
Factor Optimization Pure versus Dirty Factors December 2018. Reading Time: 15 Minutes. Author: Nicolas Rabener. SUMMARYEquity factors exhibit sector biases and exposures to other common factorsA factor optimisation process allows investors to create pure...
