Flirting with Models

Research Library of Newfound Research | While other asset managers focus on alpha, our first focus is on managing risk.

Tag: correlation (Page 1 of 4)

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

Maximizing Diversification

Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.

Rising Correlations and Tactical Asset Allocation

Tactical asset allocation can potentially add the most value when correlations between asset classes in the universe are high.

Micro-Correlation Storms

A brief review of micro-correlation storms in financial markets

Risk Budgeting (with Spreadsheet)

Risk budgeting is the process of allocating portfolio weights to target a specific risk profile. We have included a spreadsheet that simplifies this process

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