Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 2 of 17)

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.

Why Trend Models Diverge

We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.

Ensembles and Rebalancing

While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.

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