Diversification: When 1 + 1 < 2?
Diversification is called the only free lunch in finance. With elevated valuations in stocks and bonds, could the time of the traditional portfolio be over?
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It’s 2017: Do You Know Where Your Risk Is?
In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.
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A Modern, Behavior-Aware Asset Allocation
A white paper on why we believe tailwinds from the last 30 years are turning into headwinds for traditionally allocated stock-bond portfolios.
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Reflecting on Research in 2016
On behalf of the entire Newfound Research team, we would
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Factor Rotation: Possible, but Worth It?
Can factor rotation strategies time the ebb and flow of factor returns to create excess return and avoid drag? If they can, is it worth it?
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The Ghost of GDP Past
Challenging demographic trends make it unlikely that future GDP growth can continue at a pace consistent with past experience.
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Is dividend investing dangerous?
Dividend investing has grown in popularity: but is it founded on solid ground or is it bound to fail? We explore high dividend yield and dividend growth.
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Should we celebrate rising rates?
Are rising rates something to fear or something to celebrate? In this post we explore the opportunities hidden in a rising rate environment.
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How to Not Ditch Your Investment Plan
Investing is one part skill and one part discipline. Setting proper expectations can improve discipline and help you not ditch your investment plan.
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Momentum: Letting the Cheap Get Cheaper?
Can first-order effects of a momentum strategy help serve as a hedge to the potential sharpe repricing risks that occur in expensive market environments?
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Outperforming by Underperforming
Long-term outperformance and short-term underperformance are two sides of the same coin. The latter is necessary to achieve the former.
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Rising Correlations and Tactical Asset Allocation
Tactical asset allocation can potentially add the most value when correlations between asset classes in the universe are high.
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Is My Diversified Commodity Index Just Oil?
"Diversified" commodity indices are often primarily exposed to oil. Balancing risk among different assets can achieve truly diversified commodity exposure.
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Upcoming Conference Panel Appearances
Justin Sibears and I will be appearing on a few
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Capital Efficiency in Multi-factor Portfolios
Are integrated multi-factor portfolios more capital efficient than their mixed peers? In this blog post, we prove this statement for some broad assumptions.
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Is That Leverage in My Multi-Factor ETF?
The debate rages on between the best way to build a multi-factor portfolio: mixed or integrated? Are integrated portfolios are more capital efficient?
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A shock to the covariance system
Modern portfolio theory relies on the assumption of normal returns. In this post we explore how to shock a covariance matrix to create fat tails.
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High Yield Bond ETFs: Liquidity Time Bombs?
Does the rapid adoption of high yield bond ETFs and the mismatch of liquidity between the ETF and the underlying bonds create a ticking liquidity time bomb?
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High Capital Gains, Low Expected Returns: A Frustrating Combination
Framework for considering the trade-offs between paying capital gains taxes and rebalancing to an optimal portfolio given current market outlook.
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Optimizing for Anxiety
Portfolios are only optimal if investors can stick with them. We explore how we account for investor anxiety in portfolio optimization.
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