Flirting with Models

The Research Library of Newfound Research

Month: July 2013 (Page 2 of 3)

3 Years of Non-Existent Risk Premia in Factor Performance?

While factors exhibit risk premier over long time horizons, they can significantly underperform in the short-term. In this post, we highlight one of these.

Momentum Everywhere

Social influence is a form of momentum. Measuring this as it happens in the market rather than forecasting can lead to more reactive and adaptive models.

Weekly Wrap, July 19th 2013

This weekly wrap highlights some major market events from the past week including Greek debt, commodity declines and China's lower output.

The Human Element Behind the Math

Pure optimization can lead to results that are not optimal upon real-world implementation. We must often account for human preferences in our math.

The Problem with VaR-Driven Allocations

Tail-risk parity attempts to even out the risk a catastrophic losses across the portfolio. However, estimation errors inherent in VaR make this difficult.
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