Flirting with Models

The Research Library of Newfound Research

Month: January 2019

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.

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.

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.

Is Multi-Manager Diversification Worth It?

In this commentary we explore whether manager diversification can have risk reduction benefits like those found with asset diversification.