15 Ideas, Frameworks, and Lessons from 15 Years
Today, August 28th, 2023, my company Newfound Research turns 15.
Read more.Index Funds Reimagined?
A critical review of Research Affiliates's paper "Reimagining Index Funds," finding unintended style drift in the construction methodology.
Read more.Return Stacking in an Inverted Yield Curve Environment
Introduction When we first started publicly writing and talking about
Read more.Rebalance Timing Luck: The (Dumb) Luck of Smart Beta
We are proud to announce the release of our newest
Read more.Heads I Win, Tails I Hedge
We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.
Read more.Tail Hedging
In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.
Read more.Defensive Equity with Machine Learning
This post is available as a PDF download here. Summary
Read more.Tranching, Trend, and Mean Reversion
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.