Month: April 2020
In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.
Newfound Research's Q1 2020 investor letter where we review firm updates and the primary drivers of strategy performance in Q1.
We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.
Tranching, Trend, and Mean Reversion
By Corey Hoffstein
On April 27, 2020