Flirting with Models

The Research Library of Newfound Research

Tag: volatility (Page 1 of 5)

Quantitative Styles and Multi-Sector Bonds

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

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

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

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

The State of Risk Management

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