Flirting with Models

The Research Library of Newfound Research

Category: Portfolio Construction (Page 1 of 9)

Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants

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On September 11, 2020

Straddles and Trend Following

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On May 11, 2020

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

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.

Ensembles and Rebalancing

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On February 24, 2020

While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.

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