Flirting with Models

Research Library of Newfound Research | While other asset managers focus on alpha, our first focus is on managing risk.

Tag: multi-factor (Page 1 of 2)

All About Factors & Smart Beta

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On March 27, 2017

A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.

Diversification in Multi-Factor Portfolios

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On March 20, 2017

We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.

Capital Efficiency in Multi-factor Portfolios

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On October 17, 2016

Are integrated multi-factor portfolios more capital efficient than their mixed peers? In this blog post, we prove this statement for some broad assumptions.

Is That Leverage in My Multi-Factor ETF?

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On October 10, 2016

The debate rages on between the best way to build a multi-factor portfolio: mixed or integrated? Are integrated portfolios are more capital efficient?

Multi-Factor: Mix or Integrate?

By

On July 11, 2016

Which approach to building a multi-factor portfolio is best: mixed or integrated? The time-varying nature of factor premiums may be the key determinant.

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While other asset managers focus on alpha, our first focus is on managing risk.

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