Flirting with Models

The Research Library of Newfound Research

Category: Weekly Commentary (Page 2 of 21)

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.

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.

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.

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