Flirting with Models

The Research Library of Newfound Research

Category: Risk Management (Page 3 of 11)

Can Managed Futures Offset Equity Losses?

Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?

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.

Diversification: More Than “What”

A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

Ensemble Multi-Asset Momentum

We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.

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