Flirting with Models

Research Library of Newfound Research

Author: Justin Sibears (Page 1 of 12)

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.

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.

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