Flirting with Models

Research Library of Newfound Research

Author: Nathan Faber (Page 1 of 9)

Is Your Multi-Asset Strategy Really Multi-Asset?

Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.

Expectations with Tactical Equity

Tactical equity strategies are favored in rising rate environments and when the equity markets have large absolute moves.

Misattributing Bad Behavior

Reported behavior gaps can be very misleading. Disciplined approaches may even show a behavior gap depending on the market environment.

Is My Diversified Commodity Index Just Oil?

"Diversified" commodity indices are often primarily exposed to oil. Balancing risk among different assets can achieve truly diversified commodity exposure.

Uncertain Alpha

Basing decisions solely on alphas can lead to disaster. Knowing the uncertainty and the model associated with alpha can help avoid costly errors.

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