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.
Read more.Tail Hedging
In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.
Read more.Defensive Equity with Machine Learning
This post is available as a PDF download here. Summary
Read more.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.
Read more.“Well, you… No, you gotta do more than that.”
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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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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