Flirting with Models

🧪 Research Library of Newfound Research

Tag: managed futures (Page 1 of 2)

The State of Risk Management

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

Failing Slow, Failing Fast, and Failing Very Fast

Failure to meet your financial objectives can take one of two forms: fast failure and slow failure. Failing fast involves suffering large losses at the wrong time as the result of taking too much risk. Failing slow involves achieving insufficient growth due to taking too little risk.

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.

Building an Unconstrained Sleeve

A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.

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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