Rolling Beta, Self-Weight Bias, and a Leave-One-Out Fix
quant research
factor models
Why a stock’s own weight in an index mechanically inflates its measured beta — and how to isolate the effect with a leave-one-out benchmark.
July 2026
Jonas Althuis
Notes on markets, quantitative research, and trading — written while building toward a career in the industry.
I’m currently studying finance and building out a small quantitative research practice on the side — real data, tested code, and honest write-ups of what worked, what didn’t, and why. Everything here is reproducible: each post links to its underlying notebook and a downloadable PDF.
