Flirting with Models

Research Library of Newfound Research

Author: Nathan Faber (Page 1 of 10)

Sleuthing Out Allocations

Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.

Addressing Low Return Forecasts in Retirement with Tactical Allocation

Low return forecasts make risk management crucial. Tactical strategies have been effective in the past, and moderate allocations can make a big difference.

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.

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