Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 3 of 67)

March 2020 Update

As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.

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.

Payoff Diversification

We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.

Can Managed Futures Offset Equity Losses?

Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?

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