Flirting with Models

Research Library of Newfound Research

Tag: diversification (Page 1 of 5)

Managing Capital Market Assumption Risk

A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.

Is Your Multi-Asset Strategy Really Multi-Asset?

Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.

Diversification in Multi-Factor Portfolios

We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.

Momentum: Letting the Cheap Get Cheaper?

Can first-order effects of a momentum strategy help serve as a hedge to the potential sharpe repricing risks that occur in expensive market environments?

Math Tests, Birthdays, O.J. Simpson, and Texas Sharpshooters

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