On behalf of the entire Newfound Research team, we would like to wish you and yours a happy holiday season.

We treat this weekly research commentary as a sacred part of our investment process.  We continue to be honored and humbled by the vast and growing number of readers it reaches, a sign of the trust and confidence you place in our work.

To remain transparent can often be uncomfortable, as new research may contradict old.  This was certainly the case this year when our views on mixed and integrated multi-factor products took an abrupt 180° turn mid-year after a research break-through.

Nevertheless, we believe that continuous, transparent research is paramount for creating an objective, evidence-based investment process.

At Newfound we remain dedicated to helping clients achieve their long-term investment goals while simultaneously acknowledging the importance of managing the quality of the journey along the way.

To this end, in 2017 – and in every year – thoughtful, dedicated, and transparent research at the intersection of quantitative and behavioral finance will remain our guiding process.

With warmest wishes,

Corey Hoffstein, Justin Sibears & Nathan Faber
                 

 

Summary of Core Research Themes in 2016

  • Alpha is not risk-less.  In fact, for an active strategy to have the potential to outperform in the long run, we believe it must be difficult to hold in the short-run.  As a zero-sum measure, alpha is passed from investors who fold during times of volatility to those who have the fortitude to hold.
  • Risk cannot be destroyed, only transformed.  Every investment decision we make should be viewed through the lens of a relative risk trade-off.
  • Active management should be an allocation, not a trade.  To harvest the long-term outperformance potential of active investment strategies, we need to look well beyond 3-year track records and create long term factor exposure allocation in our portfolios.

 

Research Highlights


Market Outlook

 Active Management

Risk Management

Factor Investing

Corey is co-founder and Chief Investment Officer of Newfound Research, a quantitative asset manager offering a suite of separately managed accounts and mutual funds. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients.

Prior to offering asset management services, Newfound licensed research from the quantitative investment models developed by Corey. At peak, this research helped steer the tactical allocation decisions for upwards of $10bn.

Corey is a frequent speaker on industry panels and contributes to ETF.com, ETF Trends, and Forbes.com’s Great Speculations blog. He was named a 2014 ETF All Star by ETF.com.

Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University.Connect on LinkedIn or Twitter.