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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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.
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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.
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Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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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.
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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.
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Country Rotation with Growth/Value Sentiment
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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Tactical Portable Beta
We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.
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Style Surfing the Business Cycle
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
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The Path-Dependent Nature of Perfect Withdrawal Rates
The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.
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