Flirting with Models

The Research Library of Newfound Research

Month: March 2018

Protect & Participate: Managing Drawdowns with Trend Following

For investors looking to diversify how they manage risk, we believe the trend following represents a high transparent, and historically effective, alternative.

Two Centuries of Momentum

As a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results.

You Are Not a Monte-Carlo Simulation

Our lives are not a monte-carlo simulation. Because we all live in a multi-period world where we have a single investment portfolio that compounds over time, managing risk can help us maximize our long-term growth rate even if it seems foolish in hindsight.

Thinking in Long/Short Portfolios

While few investors explicitly hold long/short portfolios, every active portfolio can be thought of as the benchmark plus a long/short representing the active bets. We use this framework to distinguish the quantity versus quality of active exposures.