Flirting with Models

Research Library of Newfound Research | While other asset managers focus on alpha, our first focus is on managing risk.

Author: Justin Sibears (Page 1 of 12)

Managing Equity Risk When Rates Rise

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On October 9, 2018

Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.

Timing Equity Returns Using Monetary Policy

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On September 4, 2018

We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.

The State of Risk Management

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On August 20, 2018

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

Machine Learning, Subset Resampling, and Portfolio Optimization

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On July 23, 2018

We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.

Separating Ingredients and Recipe in Factor Investing

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On May 21, 2018

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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While other asset managers focus on alpha, our first focus is on managing risk.

We know investors care deeply about protecting the capital they have worked hard to accumulate. And as investors approach and enter retirement, managing “sequence risk” becomes even more important.

Newfound Research is a quantitative asset management firm with a focus on risk-managed, tactical asset allocation strategies.  We were founded in August 2008 and are based out of Boston, MA.

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