Flirting with Models

The Research Library of Newfound Research

Tag: tranching

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.

“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.

God, Buffett, and the Three Oenophiles

Investing is one part process and one part discipline, even if your active manager is omnipotent.  

The three oenophiles

Prepared: Market Breakout or Breakdown?

How does rebalance speed affect the ability for a tactical strategists to react to changing markets and protect against significant market drawdowns?
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