Flirting with Models

The Research Library of Newfound Research

Tag: bond bubble

“A Risk Measure Has to Surprise You if it is Going to be of Any Use at All”

Having a risk metric that is never surprising can be dangerous. If your risk measure does not surprise you, then the market will.

Risk Parity: The Devil is in the Details

Standard risk parity implementations focus on volatility and correlation but may overlook duration, liquidity, and forcible deleveraging risks

Bond Bubble Blues and Credit Quality

Historically, lower quality bonds have weathered rising rates better than those with higher ratings. The focus must be on both duration and credit quality
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