Flirting with Models

Research Library of Newfound Research

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.

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.

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.

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?

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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