Flirting with Models

The Research Library of Newfound Research

Month: July 2018 (Page 1 of 2)

Measuring Process Diversification in Trend Following

In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.

Our Conversation with Eric Ervin

The thoughts and commentary of the team at Newfound on our podcast conversation with Eric Ervin.

Machine Learning, Subset Resampling, and Portfolio Optimization

We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.

Our Conversation with Tobias Carlisle

The thoughts and commentary of the team at Newfound on our podcast conversation with Tobias Carlisle

Momentum’s Magic Number

The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.

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