Flirting with Models

The Research Library of Newfound Research

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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

Straddles and Trend Following

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

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.

“Well, you… No, you gotta do more than that.”

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.

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