Flirting with Models

The Research Library of Newfound Research

Category: Portfolio Construction (Page 2 of 9)

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.

Ensembles and Rebalancing

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

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.

Payoff Diversification

We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.

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.
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