Flirting with Models

The Research Library of Newfound Research

Tag: rebalancing (Page 1 of 2)

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

“Well, you… No, you gotta do more than that.”

In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.

Ensembles and Rebalancing

While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

New Research Paper: Minimizing Timing Luck with Portfolio Tranching

A new research paper exploring the role of tranching in minimizing timing luck in portfolio rebalancing.

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