Flirting with Models

The Research Library of Newfound Research

Month: March 2019

Time Dilation

Information does not flow into the market at a constant rate, and measurements using a fixed time horizon may lead to over- or under-sampling of data.

Trend Following in Cash Balance Plans

We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.

The Monsters of Investing: Fast and Slow Failure

Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.

How Much Accuracy Is Enough?

Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.