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A Factor-Based Approach to Disruptor-Based Sectors
Sector disruptors are new products that can be hard to allocate to. The proven history of factors (momentum, etc.) can be a guide.
Read more.Video Digest: Mean Reversion and Bond ETF Returns
A video digest of our most recent weekly research commentary on the evidence of mean reversion in returns for fixed income.
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Our Conversation with Meb Faber
The thoughts and commentary of the team at Newfound on our podcast conversation with Meb Faber.
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Mean Reversion and Bond ETF Returns
The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.
Read more.Video Digest: Measuring Process Diversification in Trend Following
A video digest of our most recent weekly research commentary on measuring process diversification within the context of trend following strategies.
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Measuring Process Diversification in Trend Following
In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.
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Our Conversation with Eric Ervin
The thoughts and commentary of the team at Newfound on our podcast conversation with Eric Ervin.
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Machine Learning, Subset Resampling, and Portfolio Optimization
We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.
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Our Conversation with Tobias Carlisle
The thoughts and commentary of the team at Newfound on our podcast conversation with Tobias Carlisle
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Momentum's Magic Number
The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.
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Our Conversation with Adam Butler
The thoughts and commentary of the team at Newfound on our podcast conversation with Adam Butler.
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On Performance Commentary
Ex-post performance commentary is meaningless without ex-ante expectations. With appropriately set expectations, step-wise decomposition can be insightful.
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The New Glide Path
Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?
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Flirting with Models Podcast
Introducing Newfound Research's new podcast: Flirting with Models, the show that pulls back the curtain to meet the investors behind quant strategies.
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The Raw Materials for Active Management
Explaining why active management performs a certain way in an environment is tough. Predicting this difference is even harder. Diversification is key.
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Inferring the Statistics of Buffett's Alpha
What investors should take away from Buffett’s alpha is that discipline was crucial for realizing the long-term outperformance.
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Factor Fimbulwinter
We explore the evidence that would be required for us to dismiss established anomalies. We find that we would likely have to live through several careers.
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A Season for Sectors
Seasonality has proven to be a significant anomaly in a variety of markets. We test whether seasonality applies with sector-based investing and find that not only has the premium been economically significant, but is un-explained by traditional anomalies.
Read more.Dollar-Cost Averaging: Improved by Trend?
The choice to lump sum invest (“LSI”) or dollar-cost average (“DCA”) is one fraught with emotion. Intuition tells us that LSI likely offers the best bet for long-term investors as markets, in general, tend to go up. However, can signals derived from simple trend models offer an edge?
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Separating Ingredients and Recipe in Factor Investing
Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.
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