Over the years, we have written a large number of articles about trend equity. Often we re-create a hypothetical trend equity strategy from scratch, using a slightly different model, parameterization, or rebalance criteria.
While we believe this provides credence to the robustness of trend equity, what we really want to highlight in our research is the broad style not a specification.
So we have launched the Newfound Research U.S. Trend Equity Index, which aims to be a specification-neutral implementation of the trend equity style.
- Multi-Model: Combines three different trend models to reduce model specification risk.
- Varied Parameterization: Each model is run using a number of formation periods, ranging from approximately 6-to-12 months.
- Tranched Rebalance: To avoid rebalance timing luck, the index rebalances daily but implements a staggered rebalance schedule across 20 underlying sub-indexes.
With a growing number of trend equity strategies available in the industry, our goal is to provide a transparent, specification-neutral index that can serve as a benchmark for the style and invite conversations about what makes different implementations unique.
We hope that this is the first in a number of research indexes that we will publish over the next year.
→ Check it out here.