Heads I Win, Tails I Hedge
We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.
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Flirting with Models, Season 3
We've begun releasing episodes of Season 3 of Flirting wiith Models and will continue to release throughout July 2020.
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Option-Based Trend Following
Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw.
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Tail Hedging
In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.
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Defensive Equity with Machine Learning
This post is available as a PDF download here. Summary
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Straddles and Trend Following
A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.
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Tranching, Trend, and Mean Reversion
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
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โ€œWell, youโ€ฆ No, you gotta do more than that.โ€
In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.
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2020 Q1 Investor Letter
Newfound Research's Q1 2020 investor letter where we review firm updates and the primary drivers of strategy performance in Q1.
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A L-U-V-Wy Recovery
We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.
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One Hedge to Rule Them All
There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.
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What the Trend
Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.
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How I Invest
In this commentary, I outline some thoughts that go into my personal portfolio construction decisions, including both my private and public exposures.
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March 2020 Update
As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.
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Why Trend Models Diverge
We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.
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Domestic Fixed Income Factor Implementations
We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.
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Ensembles and Rebalancing
While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.
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Diversification with Portable Beta
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
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Payoff Diversification
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
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Can Managed Futures Offset Equity Losses?
Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?
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