Flirting with Models

The Research Library of Newfound Research

Tag: estimation

Estimating the Historical Duration of Bond Portfolios

Looking up the current duration of an ETF is easy; estimating the historical duration is not. We look at a reactive way to reduce estimation risk.

The Perils of Estimating Correlation Directly From Historical Returns

Correlations are often estimated from recent, historical data, but this can lead to estimation error, even when true correlations are known!
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