Flirting with Models

The Research Library of Newfound Research

Tag: drawdowns

Drawdowns and Portfolio Longevity

We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.

Accounting for Autocorrelation in Assessing Drawdown Risk

Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.

Risk Managing Risk Management

Developing a robust risk management sleeve requires a thorough consideration of risk management capabilities and costs for each strategy.
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