Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 4 of 4)

Measuring Process Diversification in Trend Following

In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.

The Importance of Diversification in Trend Following

Single-asset trend following strategies can play a meaningful role in investor portfolios, but success requires introducing sources of diversification within the strategy. We believe the increased internal diversification allows not only for a higher probability of success.

Diversifying the What, How, and When of Trend Following

Naïve and simple long/flat trend following approaches have demonstrated considerable consistency and success in U.S. equities. We explore how investors can think about introducing greater diversification across the three axes of what, how, and when in effort to build a more robust tactical solution.

Quantifying Timing Luck

Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.

Factor Investing & The Bets You Didn’t Mean to Make

Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.

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