Flirting with Models

Research Library of Newfound Research

Tag: correlation (Page 2 of 4)

Tracking Down Data

Data drives the field of quantitative finance. Getting reliable data is often difficult, but Quandl has made that task much easier.

Estimating from Historical Data

Estimating from historical data requires many assumptions about similarity. Reducing the number of estimated parameters can control model risk.

Correlation: A Non-Guaranteed Insurance Policy

Correlation is often used to proxy diversification, but correlations can be very unstable over time. It's akin buying insurance that may or may not pay out.

Your Portfolio, Unhedged

Historically, fixed income has provided diversification to equities. What happens if the correlation of fixed income to equities inverts?

“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.
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