Flirting with Models

Research Library of Newfound Research

Author: Nathan Faber (Page 1 of 9)

Accounting for Autocorrelation in Assessing Drawdown Risk

Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.

Managing Capital Market Assumption Risk

A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.

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.

Page 1 of 9

You are about to leave thinknewfound.com and are being redirected to the website for Newfound Research Funds.