Flirting with Models

Research Library of Newfound Research

Author: Justin Sibears (Page 1 of 12)

Timing Equity Returns Using Monetary Policy

We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.

The State of Risk Management

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

Machine Learning, Subset Resampling, and Portfolio Optimization

We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.

Separating Ingredients and Recipe in Factor Investing

Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.

Failing Slow, Failing Fast, and Failing Very Fast

Failure to meet your financial objectives can take one of two forms: fast failure and slow failure. Failing fast involves suffering large losses at the wrong time as the result of taking too much risk. Failing slow involves achieving insufficient growth due to taking too little risk.

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