Flirting with Models

The Research Library of Newfound Research

Month: October 2018

When Simplicity Met Fragility

Simplicity can be surprisingly robust, but too much simplicity can be surprisingly fragile. We explore the limits of simplicity in trend equity strategies.

Attack of the Clone: Lessons from Replicating Long/Short Equity

We attempt to replicate the Credit Suisse Long/Short Liquid Index and thereby identify the commonn sources of performance in long/short equity strategies.

A Carry-Trend-Hedge Approach to Duration Timing

In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.

Managing Equity Risk When Rates Rise

Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.

Measuring Risk Tolerance

Risk tolerance is a tricky metric to measure. Riskalyze tries to intuitively quantify this, but be careful not to oversimplify this complex portfolio input.
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