Flirting with Models

The Research Library of Newfound Research

Tag: portfolio construction (Page 1 of 4)

Diversification with Portable Beta

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

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.

The Raw Materials for Active Management

Explaining why active management performs a certain way in an environment is tough. Predicting this difference is even harder. Diversification is key.

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