Disproving a Signal
Last week we introduced a signal for country rotation. This week, we walk through the steps taken to explore the robustness of the signal.
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Country Rotation with Growth/Value Sentiment
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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Tactical Portable Beta
We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.
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Style Surfing the Business Cycle
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
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The Path-Dependent Nature of Perfect Withdrawal Rates
The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.
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The Speed Limit of Trend
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
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Revisiting The Weird Portfolio
By looking at strategies by their underlying independent risk factors, we explore how even different allocations can lead to closely shared risks.
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Introducing the Newfound Research U.S. Trend Equity Index
Introducing the Newfound Research U.S. Trend Equity Index, a specification-neutral benchmark for trend equity strategies.
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Taxes and Trend Equity
Trend equity is often assumed to be tax inefficient, but it may be tax beneficial by realizing capital gains that reduce the risk of rising tax rates.
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Time Dilation
Information does not flow into the market at a constant rate, and measurements using a fixed time horizon may lead to over- or under-sampling of data.
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Trend Following in Cash Balance Plans
Cash balance plans can accelerate retirement savings beyond 401ks and IRAs. But how they are invested depends heavily on the return guarantee and employees.
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The Monsters of Investing: Fast and Slow Failure
Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.
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How Much Accuracy Is Enough?
Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.
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Three Applications of Trend Equity
The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.
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G̷̖̱̓́̀litch
The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.
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Trend: Convexity & Premium
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
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No Pain, No Premium
We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.
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Tightening the Uncertain Payout of Trend-Following
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
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Drawdowns and Portfolio Longevity
We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.
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Fragility Case Study: Dual Momentum GEM
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
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