trend Archives | Flirting with Models

Tag: trend (Page 1 of 3)

Tranching, Trend, and Mean Reversion

By Corey Hoffstein

On April 27, 2020

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.

A L-U-V-Wy Recovery

By Corey Hoffstein

On April 6, 2020

We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.

What the Trend

By Corey Hoffstein

On March 23, 2020

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

March 2020 Update

By Corey Hoffstein

On March 11, 2020

As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.

Why Trend Models Diverge

By Corey Hoffstein

On March 9, 2020

We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.

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