Flirting with Models™

Published: 1 week ago

Looking into the Ulcer Index

Investors utilize a variety of performance and risk metrics to evaluate strategies.  These numbers provide a summary of what happened to the strategy historically and can be useful to quickly compare different strategies.  To use these statistics effectively, it is helpful to look at …

Published: 2 weeks ago

The Value of Waiting to Trade When Considering Taxes

Taxes are one of the certainties in our lives.  Their implications factor into many decisions that investors face when allocating and modifying their portfolio.  Yet, they are not often mentioned when talking about tactical trading strategies. Three possible ways to reduce the impact that …

Published: 3 weeks ago

Complex or Complicated

The words “complex” and “complicated” are often used as synonyms without much confusion.  This is especially prevalent when, rather than using these words as adjectives, we are using them to identify a difficult concept: “complexity” has a better ring to it than “complicatedness.”  However, …

Published: 1 month ago

Being Tactical about Taxes

Being tactical in a vacuum is easy; being tactical in reality with the considerations of trading costs and taxes is far more difficult.  We’ve previously discussed and researched methods to reduce turnover at great length; more recently, we’ve focused on researching being tactical in …

Published: 2 months ago

Simple by Design

Catching a frisbee is difficult. Doing so successfully requires the catcher to weigh a complex array of physical and atmospheric factors, among them wind speed and frisbee rotation. Were a physicist to write down frisbee-catching as an optimal control problem, they would need to …

Published: 2 months ago

Jack of All Trades

The common follow-up to this phrase is “master of none,” which imparts a negative connotation on what could have been a reasonable compliment.  As it applies to you and me, having a shallow understanding about a breadth of topics is often perceived as inferior …

Published: 2 months ago

Can Strategy use Dictate Required Model Accuracy?

At Newfound, we are big believers that strategy benchmarks should serve both as a yardstick for measuring performance as well as an indicator for how a strategy should be used in an overall portfolio. Up for internal debate, recently, has been how to benchmark a …

Published: 2 months ago

Reconstructing Volatility-Based ETPs and Some Observations

Exchanged-traded products that offer short or long exposure to volatility have exploded in popularity since their introduction in 2009 with AUM now in excess of $2 billion.  Perhaps more indicative of their popularity is their liquidity.  VXX, which offers long exposure to short-term (1 …

Published: 2 months ago

Managing Whipsaw Risks by Measuring Potential Changes to Tracking Error

Often when we meet with clients, we often end up in a discussion explaining both the science and the art in portfolio design.  The science is in our model construction and quantitative measures; the art is in the rules we wrap around those measures …

Published: 3 months ago

Using Tracking Error Thresholds to Manage Turnover

It’s no secret that reducing turnover is a big focus for us here at Newfound.  Despite being tactical managers, we like to be tactical about being tactical; in other words, avoid trading and turnover at all costs because they have sunk, guaranteed costs that we have to trade-off …


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