Introduction to Trend Following
- A Trend Equity Primer: An introduction to trend equity, a strategy that seeks to benefit from the long-term, expected equity risk premium and the convex payoff of trend following.
- Two Centuries of Momentum: Exploring the rich history of both relative and time-series momentum.
Understanding the Behavior
- Decomposing Trend Equity: We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.
- How to Benchmark Trend Following: If we acknowledge that for a strategy to outperform over the long-run, it must undergo shorter periods of underperformance, using this symmetric benchmark can isolate market environments that underperformance should be expected.
Using Trend Following
- Protect & Participate: Managing Drawdowns with Trend Following: Using trend following as a transparent risk management diversifier.
- Achieving Risk Ignition with Trend Following: How tactical strategies can be employed by investors to both systematically increase and decrease their risk exposure.
Craftsmanship in Trend Following
- Diversifying the What, How, and When of Trend Following: How investors can think about introducing greater diversification across the three axes of what, how, and when in effort to build a more robust tactical solution.
- The Importance of Diversification in Trend Following: Diversification is a key ingredient to a successful trend following program. We believe the increased internal diversification allows not only for a higher probability of success, but also increases the degrees of freedom with which we can manage the strategy.
- When Simplicity Met Fragility: Simplicity can be surprisingly robust, but too much simplicity can be surprisingly fragile. We explore the limits of simplicity in trend equity strategies.
- Measuring Process Diversification in Trend Following: Mixing different trend models and parameterizations may be a unique source of diversification for investors.
- Momentum versus Moving Averages: Demonstrating how technical signals, such as moving average systems, are mathematically linked to time-series momentum.
- 199 Drawdowns, 1 Model: A white paper exploring the out-of-sample application of Newfound’s trend-following on 149 ETFs and 199 large (>25%) drawdowns.