Flirting with Models

The Research Library of Newfound Research

2019 Investor Letter

Newfound Research's 2019 investor letter where we review firm updates and the primary drivers of strategy performance in 2019.

Pursuing Factor Purity

In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.

2019 Research Compendium

In 2019, we published 45 research notes (not including video + audio commentary), totaling over 100,000 words. 

Timing Trend Model Specification with Momentum

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

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