Flirting with Models

The Research Library of Newfound Research

Category: Risk Management (Page 2 of 20)

A L-U-V-Wy Recovery

We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.

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.

What the Trend

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

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.

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