Recent Research

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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.

Managing Equity Risk When Rates Rise

Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.

Measuring Risk Tolerance

Risk tolerance is a tricky metric to measure. Riskalyze tries to intuitively quantify this, but be careful not to oversimplify this complex portfolio input.

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.

Video Digest: A Trend Equity Primer

A video digest of our most recent weekly research commentary on how trend equity strategies may help hedge left-tail risk in traditional portfolios.

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.

The Misleading Lessons of History

Market history can be a potentially misleading guide to the future. Adding more noise to the past returns may create more signal for the future.

Timing Equity Returns Using Monetary Policy

We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.

Video Digest: Trade Optimization

A video digest of our most recent weekly research commentary on the role of trade optimization / trade paring in portfolio construction.

Our Conversation with JD Gardner

The thoughts and commentary of the team at Newfound on our podcast conversation with JD Gardner.

We walk through our state of risk management research and show how diversification can prevent short-term underperformance and manage sequence risk.

Trade Optimization

We explore how mixed-integer linear programming can be applied in portfolio trade optimization, potentially helping reduce real-world implementation costs.

A video digest of our most recent weekly research commentary on using factors to allocate to new products like sector disruptor ETFs.

The State of Risk Management

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

A Factor-Based Approach to Disruptor-Based Sectors

Sector disruptors are new products that can be hard to allocate to. The proven history of factors (momentum, etc.) can be a guide.

A video digest of our most recent weekly research commentary on the evidence of mean reversion in returns for fixed income.

Our Conversation with Meb Faber

The thoughts and commentary of the team at Newfound on our podcast conversation with Meb Faber.

Mean Reversion and Bond ETF Returns

The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.

A video digest of our most recent weekly research commentary on measuring process diversification within the context of trend following strategies.