Flirting with Models

The Research Library of Newfound Research

Month: July 2017

Building an Unconstrained Sleeve

A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.

Managing Capital Market Assumption Risk

A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.

Combining Tactical Views with Black-Litterman and Entropy Pooling

For practitioners looking to implement tactical views in a coherent manner, Black-Litterman and Entropy Pooling may be attractive approaches.

Four Important Details in Tactical Asset Allocation

We outline four important considerations that we believe can have an outsized impact on tactical asset allocation performance if ignored.

Growth Optimal Portfolios

Most portfolio construction focuses on the trade-off of risk and return, but growth optimal portfolios may be better suited for wealth maximization.
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