Flirting with Models

Research Library of Newfound Research

Category: Alternatives (Page 1 of 2)

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.

Building an Unconstrained Sleeve

A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.

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.

Crisis Alpha: A Simple ETF Approach

Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.

Is My Diversified Commodity Index Just Oil?

"Diversified" commodity indices are often primarily exposed to oil. Balancing risk among different assets can achieve truly diversified commodity exposure.

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