Flirting with Models

The Research Library of Newfound Research

Month: November 2013 (Page 1 of 2)

The Importance of Rebalancing in Long/Short Portfolios

The frequency of rebalancing a long/short portfolio can have a dramatic impact on performance. An investor must align rebalances with their objectives.

Smoothing Out the Volatile Ride

Investing for higher returns makes the path more volatile, but targeting a specific volatility is an effective method to control risk and generate returns.

Innovation in Access: Market Neutral ETFs

Market neutral ETFs are yet another tool in the outcome-oriented portfolio construction toolbox. ETF innovation knows no bounds.

Being Strategic about Tactical Allocations II: Inlay v Overlay

Tactical allocation strategies often suffer from high turnover. Our inlay method runs between rebalance dates to reduce turnover at minimum tracking error.

Estimating from Historical Data

Estimating from historical data requires many assumptions about similarity. Reducing the number of estimated parameters can control model risk.

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