Flirting with Models

The Research Library of Newfound Research

Month: February 2014

Can Strategy use Dictate Required Model Accuracy?

Benchmarks can be used to gauge performance, to determine the appropriate fit of a strategy, and to set our expectations of model accuracy.

Reconstructing Volatility-Based ETPs and Some Observations

Volatility-based ETPs can be constructed from widely available futures data. The characteristics of these assets make them good for trading, not investing.

Managing Whipsaw Risks by Measuring Potential Changes to Tracking Error

Concentrated portfolios put a large emphasis on model accuracy. We can estimate the potential whipsaw in portfolios by looking at changes in tracking error.

Using Tracking Error Thresholds to Manage Turnover

If we decide when to trade based on the amount of tracking error, we can reduce portfolio turnover. However, the cost may be more tracking error!
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