Flirting with Models

🧪 Research Library of Newfound Research

Tag: risk parity (Page 1 of 2)

The State of Risk Management

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

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.

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.

Building an Unconstrained Sleeve

A presentation exploring how can unconstrained sleeve can be built to target hedging, equity-like, or absolute-return characteristics.

Is My Diversified Commodity Index Just Oil?

"Diversified" commodity indices are often primarily exposed to oil. Balancing risk among different assets can achieve truly diversified commodity exposure.

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