Research Library | Flirting with Models

We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.

One Hedge to Rule Them All

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

What the Trend

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

How I Invest

In this commentary, I outline some thoughts that go into my personal portfolio construction decisions, including both my private and public exposures.

March 2020 Update

As markets digest the potential economic impact of COVID-19, we want to share some thoughts on market volatility and our tactical models.

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.

Domestic Fixed Income Factor Implementations

We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.

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.

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.

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.

Can Managed Futures Offset Equity Losses?

Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?

Fighting U.S. FOMO

U.S. investors may feel FOMO after strong years in the market, and battling this feeling is important for the health of their portfolio.

Should I Stay or Should I Growth Now?

Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.

2019 Investor Letter

Newfound Research's 2019 investor letter where we review firm updates and the primary drivers of strategy performance in 2019.

Pursuing Factor Purity

In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.

2019 Research Compendium

In 2019, we published 45 research notes (not including video + audio commentary), totaling over 100,000 words.

Timing Trend Model Specification with Momentum

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

A Conversation on Rebalance Timing Luck

A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.

November 2019 Digest

1. Global Growth-Trend Timing (Link) The Big Question Can economic