Flirting with Models

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

Tag: optimization (Page 1 of 2)

Directionally Right and Precisely Wrong

Portfolio construction decisions tell us about more than just our objective: they tell us about our beliefs. But what if we're not 100% certain?

Measuring the Benefit of Diversification

A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.

High Capital Gains, Low Expected Returns: A Frustrating Combination

Framework for considering the trade-offs between paying capital gains taxes and rebalancing to an optimal portfolio given current market outlook.

Risk Budgeting (with Spreadsheet)

Risk budgeting is the process of allocating portfolio weights to target a specific risk profile. We have included a spreadsheet that simplifies this process

The Human Element Behind the Math

Pure optimization can lead to results that are not optimal upon real-world implementation. We must often account for human preferences in our math.

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