Flirting with Models

The Research Library of Newfound Research

Month: July 2018

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.

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.

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.

The New Glide Path

Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?