Flirting with Models

The Research Library of Newfound Research

Tag: risk management (Page 4 of 9)

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.

Expectations with Tactical Equity

Tactical equity strategies are favored in rising rate environments and when the equity markets have large absolute moves.

Crisis Alpha: A Simple ETF Approach

Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.

Low Volatility is Not Low Risk

Volatility and risk are often treated as the same thing, but low volatility ETFs have many risks that investors may not be aware of.
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