Flirting with Models

Research Library of Newfound Research

Category: Active Management (Page 1 of 4)

Outperforming by Underperforming

Long-term outperformance and short-term underperformance are two sides of the same coin. The latter is necessary to achieve the former.

Rising Correlations and Tactical Asset Allocation

Tactical asset allocation can potentially add the most value when correlations between asset classes in the universe are high.

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.

Alpha's measurement problem

Active investing often focuses on the pursuit of alpha, but estimating and measuring alpha based on historical returns may be a fool's errand.

The two sources of outperformance

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