Flirting with Models

The Research Library of Newfound Research

Author: Nathan Faber (Page 3 of 5)

Taxes and Trend Equity

While tactical equity strategies are generally assumed to be tax inefficient, we document the historical capital gains profile of such an approach.

Trend Following in Cash Balance Plans

We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.

How Much Accuracy Is Enough?

Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

Measuring the Benefit of Diversification

A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.