Flirting with Models

Research Library of Newfound Research

Tag: trend following (Page 1 of 4)

Video Digest: Measuring Process Diversification in Trend Following

A video digest of our most recent weekly research commentary on measuring process diversification within the context of trend following strategies.

Measuring Process Diversification in Trend Following

In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.

The New Glide Path

Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?

Dollar-Cost Averaging: Improved by Trend?

The choice to lump sum invest (“LSI”) or dollar-cost average (“DCA”) is one fraught with emotion. Intuition tells us that LSI likely offers the best bet for long-term investors as markets, in general, tend to go up. However, can signals derived from simple trend models offer an edge?

How to Benchmark Trend-Following

Benchmarking a trend-following strategy is difficult. The tendency is to compare it to an equity strategy, but this often leads to disappointment. We explore a better benchmark that allows investors to accurately measure performance and set expectations.

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