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A Null Hypothesis for the New Year
As investors prepare their portfolios for 2018, we should consider accepting that our evidence may be nothing but a fortunate permutation of randomness.
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Presidential Stock Market Leaderboard
It's no secret that the market has been ripping post
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Value 2.0
Traditional value strategies may be fundamentally flawed in their construction. Value 2.0 indices fix some of these problems, but not all.
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No Silver Bullets: 8 Ideas for Financial Planning in a Low-Return Environment
We offer 8 ideas investors can implement to help address the short-coming of traditional financial planning rules in a low-return environment.
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Portable Beta: Making the Most of the Returns You're Already Getting
In theory, investors should gear the most risk-efficient portfolio; in practice, few do. Portable beta may help investors create more efficient portfolios.
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Are Market Implied Probabilities Useful?
Market-implied probabilities may apply for "typical households", but actual probabilities are more relevant to the unique goals and situations of investors.
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Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?
We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.
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A Case Against Overweighting International Equity
Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?
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It’s Long/Short Portfolios All The Way Down
Long/short portfolios can provide us with a unique framework to think about portfolio differences, and a unique way to quantify value-add for fees paid.
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Alternative Data: The Next Frontier of Quant?
Can quants take advantage of new, alternative data to find hidden sources of alpha? Or will signal remain lost in the noise?
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Sleuthing Out Allocations
Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.
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Tactical, But When?
We believe that investors should most actively seek to manage risk when they are most susceptible to sequence risk, i.e. the years around retirement.
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The Frustrating Law of Active Management
We introduce the Frustrating Law of Active Management: For a strategy to outperform in the long run, it has to underperform in the short run.
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Addressing Low Return Forecasts in Retirement with Tactical Allocation
Low return forecasts make risk management crucial. Tactical strategies have been effective in the past, and moderate allocations can make a big difference.
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The Lie of Averages
We believe that maintaining a degree of flexibility within a portfolio can help investors adapt to the path they are on.
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Tax-Managed Models & Asset Location
We explore how tax-adjusted expected returns can be created and used in effort to create tax-managed portfolios that can maximize post-tax returns.
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The Butterfly Effect in Retirement Planning
Examining the significant impact of changes in assumptions, including spending and return assumptions, on retirement planning analysis.
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Portfolios in Wonderland & The Weird Portfolio
Investors looking for long-term success may have to expand their investment palette and invest in weird portfolios to earn enticing returns in the future.
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A Philosophy-First Asset Manager
Newfound embraces a philosophy-first asset management mentality, avoiding blind product and process loyalty for an evidence-based approach.
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Accounting for Autocorrelation in Assessing Drawdown Risk
Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.
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