Flirting with Models

The Research Library of Newfound Research

Tag: volatility

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.

The State of Risk Management

Indexed Annuity: Masking Risk, Not Destroying It