Flirting with Models

The Research Library of Newfound Research

Tag: regression

Re-specifying the Fama French 3-Factor Model

By

On December 16, 2019

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

Sleuthing Out Allocations

By

On October 16, 2017

Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.

It’s 2017: Do You Know Where Your Risk Is?

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On January 9, 2017

In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.

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