Flirting with Models

The Research Library of Newfound Research

Month: April 2013 (Page 1 of 3)

Weekly Wrap, April 26th 2013

This weekly wrap highlights some major market events from the past week including high frequency trading, the Spanish labor economy and central bank policy.

Weekly Wrap, April 19th 2013

This weekly wrap highlights some major market events from the past week including declines in gold, diversification and lower economic growth forecasts.

Do We Chase Negative Performance?

When we see graphs like these, we conclude that the markets are working properly, not that investors are chasing negative performance.

The Ebb and Flow of Active Return Premia

Active return premia aim to capitalize on the persistence of factors (size, value, volatility and momentum). Diversification across factors is beneficial.

Why We Don’t Predict: Gartman Says He’s “Never Seen Anything Like This”

Building a model around predictions, may be asking for trouble. As the data that was used to predict changes, the model may fall victim to errors.

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