Flirting with Models

Research Library of Newfound Research

Tag: long/short (Page 1 of 2)

Decomposing Trend Equity

We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.

On Performance Commentary

Ex-post performance commentary is meaningless without ex-ante expectations. With appropriately set expectations, step-wise decomposition can be insightful.

Thinking in Long/Short Portfolios

While few investors explicitly hold long/short portfolios, every active portfolio can be thought of as the benchmark plus a long/short representing the active bets. We use this framework to distinguish the quantity versus quality of active exposures.

It’s Long/Short Portfolios All The Way Down

Long/short portfolios can provide us with a unique framework to think about portfolio differences, and a unique way to quantify value-add for fees paid.

The Importance of Rebalancing in Long/Short Portfolios

The frequency of rebalancing a long/short portfolio can have a dramatic impact on performance. An investor must align rebalances with their objectives.

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