Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 2 of 68)

Tail Hedging

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

Defensive Equity with Machine Learning

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

โ€œWell, youโ€ฆ No, you gotta do more than that.โ€

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.

2020 Q1 Investor Letter

Newfound Research's Q1 2020 investor letter where we review firm updates and the primary drivers of strategy performance in Q1.

Page 2 of 68

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