Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?
We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.
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Yield Curve Trades with Trend and Momentum
We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.
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Macro Timing with Trend Following
Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
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Macro and Momentum Factor Rotation
We explore macro- and momentum-driven factor rotation of U.S. equity factors. These methods may not offer much benefit over naïve, equal-weight approach.
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Trend Following Active Returns
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
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Factors and the Glide Path
We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.
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Build Your Own Long/Short
Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.
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Sector Momentum
We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.
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Es-CAPE Velocity: Value-Driven Sector Rotation
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
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Using PMI to Trade Cyclicals vs Defensives
We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.
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Your Style-age May Vary
New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.
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Harvesting the Bond Risk Premium
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
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Timing Luck and Systematic Value
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
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Ensemble Multi-Asset Momentum
We use a multi-asset momentum framework to explore the potential benefits of ensemble construction in diversifying process and rebalance risk.
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Q2 2019 Video Commentary
A recap of quantitative tactical signals at the end of Q2, including momentum, valuation, and carry signals for different asset classes.
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Dynamic Spending in Retirement Monte Carlo
Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.
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Decomposing the Credit Curve
We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.
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Value and the Credit Spread
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
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Q2 2019 Firm Update
A letter from Newfound's co-founders celebrating 10 years in business, recent changes, and our plan for the next decade.
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Flirting with Models – Season 2
We're back with Season 2 of our podcast Flirtig with Models. This season we interview guests all about topics from volatility investing to alternative data.
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