Flirting with Models

Research Library of Newfound Research

Category: Risk Management (Page 1 of 13)

Factor Investing & The Bets You Didn't Mean to Make

Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.

A Null Hypothesis for the New Year

As investors prepare their portfolios for 2018, we should consider accepting that our evidence may be nothing but a fortunate permutation of randomness.

Portable Beta: Making the Most of the Returns You're Already Getting

In theory, investors should gear the most risk-efficient portfolio; in practice, few do. Portable beta may help investors create more efficient portfolios.

Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?

We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.

Sleuthing Out Allocations

Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.

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