Flirting with Models

The Research Library of Newfound Research

Category: Risk Management (Page 2 of 11)

Tail Hedging

By

On June 8, 2020

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

Straddles and Trend Following

By

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.

One Hedge to Rule Them All

By

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

By

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.

Payoff Diversification

By

On February 10, 2020

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

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