Flirting with Models

Research Library of Newfound Research

Author: Corey Hoffstein (Page 1 of 40)

Market Timing with Value

Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.

Should We Be Holding More Cash?

Modern portfolio theory helps us create a Sharpe optimal portfolio, but it also tells us that less risky portfolios should hold significant amounts of cash.

Managing Active Risk

When investors choose active managers, they introduce active risk into their portfolio, an extra risk that should be be accounted for in risk management.

Diversification: When 1 + 1 < 2?

Diversification is called the only free lunch in finance. With elevated valuations in stocks and bonds, could the time of the traditional portfolio be over?

It's 2017: Do You Know Where Your Risk Is?

In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.

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