Recent Research

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

Time-Series Signals and Multi-Sector Bonds

We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.

Quantitative Styles and Multi-Sector Bonds

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

Tactical Credit

We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.

Our Systematic Value Philosophy

This commentary introduces the philosophy and process behind our Systematic Value portfolio, which seeks to create style pure exposure to equity deep value.

Disproving a Signal

Last week we introduced a signal for country rotation. This week, we walk through the steps taken to explore the robustness of the signal.