Flirting with Models

🧪 Research Library of Newfound Research

Tag: portfolio construction (Page 1 of 4)

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.

Separating Ingredients and Recipe in Factor Investing

Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.

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