Flirting with Models

The Research Library of Newfound Research

Tag: risk (Page 2 of 2)

Risk Attribution in a Portfolio

Return attribution in a portfolio is common, but risk attribution is less well-known. It is important to know both sources of return and risk.

Looking into the Ulcer Index

Unlike volatility and max drawdown, the Ulcer index combines both the length and severity of drawdowns into one convenient metric.

Estimating from Historical Data

Estimating from historical data requires many assumptions about similarity. Reducing the number of estimated parameters can control model risk.

Disentangling Volatility and Risk

"Volatility" and "risk" are often used interchangeably, but it is important to distinguish between volatility as uncertainty and volatility as dispersion.

Correlation: A Non-Guaranteed Insurance Policy

Correlation is often used to proxy diversification, but correlations can be very unstable over time. It's akin buying insurance that may or may not pay out.

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