Flirting with Models

The Research Library of Newfound Research

Month: November 2017

Are Market Implied Probabilities Useful?

Market-implied probabilities may apply for "typical households", but actual probabilities are more relevant to the unique goals and situations of investors.

Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?

We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.

A Case Against Overweighting International Equity

Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?

It’s Long/Short Portfolios All The Way Down

Long/short portfolios can provide us with a unique framework to think about portfolio differences, and a unique way to quantify value-add for fees paid.
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