Flirting with Models

Research Library of Newfound Research | While other asset managers focus on alpha, our first focus is on managing risk.

Tag: trend

G̷̖̱̓́̀litch

The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.

Trend: Convexity & Premium

We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.

A Carry-Trend-Hedge Approach to Duration Timing

In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.

A Gentle Guide to Global Tactical Asset Allocation

An introduction to global tactical asset allocation ("GTAA") using systematic styles like value, momentum, carry, defensive and trend.

Factor Investing in Multi-Asset Portfolios

Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
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