Flirting with Models

Research Library of Newfound Research

Tag: risk management (Page 1 of 7)

How to Benchmark Trend-Following

Benchmarking a trend-following strategy is difficult. The tendency is to compare it to an equity strategy, but this often leads to disappointment. We explore a better benchmark that allows investors to accurately measure performance and set expectations.

Risk Ignition with Trend Following

Trend following strategies may represent a beneficial diversifier for conservative portfolios going forward, potentially allowing investors to more fully participate with equity market growth without necessarily fully exposing themselves to equity market risk.

Failing Slow, Failing Fast, and Failing Very Fast

Failure to meet your financial objectives can take one of two forms: fast failure and slow failure. Failing fast involves suffering large losses at the wrong time as the result of taking too much risk. Failing slow involves achieving insufficient growth due to taking too little risk.

Should You Dollar-Cost Average?

Dollar-cost averaging (DCA) is often touted as superior to lump sum investing, but there are many scenarios where DCA may be inferior. The market environment and investor behavior both play large roles in the decision of which route to take.

Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?

We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.

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