Flirting with Models

Research Library of Newfound Research

Category: Active Management (Page 1 of 7)

Thinking in Long/Short Portfolios

While few investors explicitly hold long/short portfolios, every active portfolio can be thought of as the benchmark plus a long/short representing the active bets. We use this framework to distinguish the quantity versus quality of active exposures.

The Diversification Dangers of DIY Tactical

While DIY Tactical ETF strategies became popular after 2008, we often see implementations that fail to adequately diversify. We outline three ways in which we see this manifest: a failure to diversify what, how, and when.

Three ETF-Based Ways to Leverage Your 60/40 Without Margin

We explore three ETF-Based ways to leverage your 60/40 without margin. We explore high beta ETFs, levered ETFs, and derivative-based ETNs as potential tools and look at the benefits and risks of each approach.

Timing Bonds with Value, Momentum, and Carry

With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.

Quantifying Timing Luck

Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.

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