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.

Corey is co-founder and Chief Investment Officer of Newfound Research, a quantitative asset manager offering a suite of separately managed accounts and mutual funds. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. Prior to offering asset management services, Newfound licensed research from the quantitative investment models developed by Corey. At peak, this research helped steer the tactical allocation decisions for upwards of $10bn. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. You can connect with Corey on LinkedIn or Twitter.