Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 1 of 5)

The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck

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On January 24, 2023

Tranching, Trend, and Mean Reversion

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On April 27, 2020

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

One Hedge to Rule Them All

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On March 30, 2020

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

Diversification with Portable Beta

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On February 18, 2020

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

Timing Trend Model Specification with Momentum

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On December 23, 2019

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

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