Flirting with Models

The Research Library of Newfound Research

Tag: modern portfolio theory

Portable Beta: Making the Most of the Returns You’re Already Getting

We introduce the idea of "portable beta": synthetic, additional exposure to asset classes achieved through efficient derivative exposure.

Should We Be Holding More Cash?

Modern portfolio theory helps us create a Sharpe optimal portfolio, but it also tells us that less risky portfolios should hold significant amounts of cash.

New Paper from Markowitz: Introducing the Gerber Statistic

New White Paper: “Allocating Under Uncertainty: Simple Heuristics & Complex Models”

Optimal portfolios can underperform more naive constructions due to parameter uncertainty and instability over time.
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