Flirting with Models

The Research Library of Newfound Research

Tag: trend following (Page 1 of 7)

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.

Trend Following in Cash Balance Plans

Cash balance plans can accelerate retirement savings beyond 401ks and IRAs. But how they are invested depends heavily on the return guarantee and employees.

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.

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.

Fragility Case Study: Dual Momentum GEM

We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.

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