Flirting with Models

The Research Library of Newfound Research

Author: Nathan Faber (Page 2 of 14)

How Much Accuracy Is Enough?

Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

The Risk in the Risk-Free Rate

The risk-free rate is a tool in portfolio construction, but the practical aspects of achieving that rate can be difficult in a low rate environment.

Maximizing Diversification

Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.

Measuring the Benefit of Diversification

A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.

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