Flirting with Models

The Research Library of Newfound Research

Tag: trend (Page 2 of 2)

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.


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.

Page 2 of 2