Research Library | Flirting with Models

Q1 2021 Commentary

In this quarter’s commentary, we: Provide an analysis of this

Q4 2020 Commentary

In this quarter’s commentary, we: Provide updates about the transition

Q3 2020 Commentary

Q3 2020 market commentary from Newfound Research.

Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants

This paper is unlike any research we’ve shared in the

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

We are proud to announce the release of our newest

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.

Flirting with Models, Season 3

We've begun releasing episodes of Season 3 of Flirting wiith Models and will continue to release throughout July 2020.

Option-Based Trend Following

Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw.

Tail Hedging

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

Defensive Equity with Machine Learning

This post is available as a PDF download here. Summary

Straddles and Trend Following

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

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.

“Well, you… No, you gotta do more than that.”

In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.

2020 Q1 Investor Letter

Newfound Research's Q1 2020 investor letter where we review firm updates and the primary drivers of strategy performance in Q1.

A L-U-V-Wy Recovery

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.