Flirting with Models

The Research Library of Newfound Research

Month: April 2019

Style Surfing the Business Cycle

In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.

The Path-Dependent Nature of Perfect Withdrawal Rates

The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.

The Speed Limit of Trend

Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.

Taxes and Trend Equity

While tactical equity strategies are generally assumed to be tax inefficient, we document the historical capital gains profile of such an approach.