Flirting with Models

The Research Library of Newfound Research

Month: February 2019

Three Applications of Trend Equity

The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.


The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.

Trend: Convexity & Premium

We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.

No Pain, No Premium

We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.