Flirting with Models

Research Library of Newfound Research

Tag: risk management (Page 1 of 7)

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.

Addressing Low Return Forecasts in Retirement with Tactical Allocation

Low return forecasts make risk management crucial. Tactical strategies have been effective in the past, and moderate allocations can make a big difference.

Accounting for Autocorrelation in Assessing Drawdown Risk

Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.

Managing Capital Market Assumption Risk

A robust portfolio is better than an optimal one. Mitigating the risk of incorrect capital market assumptions is important in mean variance optimization.

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