Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 2 of 6)

Tranching, Trend, and Mean Reversion

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

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

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

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

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.