Research Library | Flirting with Models

While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.

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.

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.

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?

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.

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.

2019 Investor Letter

Newfound Research's 2019 investor letter where we review firm updates and the primary drivers of strategy performance in 2019.

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.

2019 Research Compendium

In 2019, we published 45 research notes (not including video + audio commentary), totaling over 100,000 words.

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 naïve trend strategy.

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.

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.

November 2019 Digest

1. Global Growth-Trend Timing (Link) The Big Question Can economic

Diversification: More Than “What”

A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

Global Growth-Trend Timing

In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.

October 2019 Digest

Macro Timing with Trend Following (Link) The Big Question Can we

Factor Orphans

We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.