A L-U-V-Wy Recovery
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.
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One Hedge to Rule Them All
There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.
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What the Trend
Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.
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How I Invest
In this commentary, I outline some thoughts that go into my personal portfolio construction decisions, including both my private and public exposures.
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March 2020 Update
As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.
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Why Trend Models Diverge
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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Domestic Fixed Income Factor Implementations
We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.
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Ensembles and Rebalancing
While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.
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Diversification with Portable Beta
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
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Payoff Diversification
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
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Can Managed Futures Offset Equity Losses?
Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?
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Fighting U.S. FOMO
U.S. investors may feel FOMO after strong years in the market, and battling this feeling is important for the health of their portfolio.
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Should I Stay or Should I Growth Now?
Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.
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2019 Investor Letter
Newfound Research's 2019 investor letter where we review firm updates and the primary drivers of strategy performance in 2019.
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Pursuing Factor Purity
In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.
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2019 Research Compendium
In 2019, we published 45 research notes (not including video + audio commentary), totaling over 100,000 words.Β 
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Timing Trend Model Specification with Momentum
In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naΓ―ve trend strategy.
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Re-specifying the Fama French 3-Factor Model
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
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A Conversation on Rebalance Timing Luck
A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.
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November 2019 Digest
1. Global Growth-Trend Timing (Link) The Big Question Can economic
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