Flirting with Models

The Research Library of Newfound Research

Tag: time-series momentum (Page 1 of 2)

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.

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.

Risk Ignition with Trend Following

Trend following strategies may represent a beneficial diversifier for conservative portfolios going forward, potentially allowing investors to more fully participate with equity market growth without necessarily fully exposing themselves to equity market risk.

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.

Protect & Participate: Managing Drawdowns with Trend Following

For investors looking to diversify how they manage risk, we believe the trend following represents a high transparent, and historically effective, alternative.

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