The Speed Limit of Trend
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
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Revisiting The Weird Portfolio
By looking at strategies by their underlying independent risk factors, we explore how even different allocations can lead to closely shared risks.
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Introducing the Newfound Research U.S. Trend Equity Index
Introducing the Newfound Research U.S. Trend Equity Index, a specification-neutral benchmark for trend equity strategies.
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Time Dilation
Information does not flow into the market at a constant rate, and measurements using a fixed time horizon may lead to over- or under-sampling of data.
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The Monsters of Investing: Fast and Slow Failure
Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.
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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.
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Three Applications of Trend Equity
The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.
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G̷̖̱̓́̀litch
The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.
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Trend: Convexity & Premium
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
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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.
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Drawdowns and Portfolio Longevity
We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.
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Video Digest: Process & Manager Diversification
A video digest of our most recent weekly research commentaries on the potential benefits of diversifying across managers or process within a portfolio.
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2018 Highlights – The Top 20 Posts You Might Have Missed
Best-of highlights of the most popular Flirting with Models blog posts of 2018!
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Dart-Throwing Monkeys and Process Diversification
A brief note that explores the impact of process diversification on terminal wealth dispersion, a key metric in portfolio planning.
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What do portfolios and teacups have in common?
Volatility is one way to manage risk. How sensitive a portfolio is to small changes in inputs – a measure of its fragility – is another important measure.
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