Building better backtests


  • Backtests should be, and frequently are, evaluated with scrutiny and skepticism
  • While hypothetical results – backtested or live – are reported as a single, precise number, investors will have different performance based on
  • In most hypothetical results, this execution factor is often ignored.
  • To more accurately report hypothetical performance, Newfound’s investment team has implemented a more realistic execution model.

China and the importance of dynamic trend following


  • Trend-following can be used as an objective methodology to seek to participate with market growth and protect against significant declines
  • Common models may work on average but can fail in very specific scenarios
  • Parabolic moves are particularly tough for simple trend following methods to capture
  • We believe a dynamic approach to trend following is critical for long-term success

Achieving risk ignition

"Taking less risk than is optimal is not safer; it just locks in a worse outcome.

Taking more risk than is optimal also results in a worse outcome, and often leads to complete disaster."

-- Aaron Brown, Red Blooded Risk (2011)


In our new white paper, we explore how tactical strategies can be utilized to achieve risk ignition, dynamically increasing and decreasing exposure to risky assets so as to not incur the expected return drag from safety assets without necessarily increasing overall portfolio volatility.

You can download it here.