Flirting with Models

The Research Library of Newfound Research

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“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.

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.

A L-U-V-Wy Recovery

We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.

One Hedge to Rule Them All

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

What the Trend

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

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