volatility Archives | Flirting with Models

Tag: volatility (Page 1 of 5)

Quantitative Styles and Multi-Sector Bonds

By Corey Hoffstein

On June 10, 2019

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

Quantifying Timing Luck

By Corey Hoffstein

On January 22, 2018

Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.

Accounting for Autocorrelation in Assessing Drawdown Risk

By Nathan Faber

On August 21, 2017

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

Crisis Alpha: A Simple ETF Approach

By Justin Sibears

On February 21, 2017

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

The State of Risk Management

By Corey Hoffstein

On May 18, 2016

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Multi-Asset
Broadly diversified mandates seeking to benefit from a wide range of return sources including both traditional market exposures and non-traditional style premia.

Fixed Income
Strategies seeking excess risk-adjusted returns through the systematic application of style premia across bond sectors.

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