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Trade Optimization
We explore how mixed-integer linear programming can be applied in portfolio trade optimization, potentially helping reduce real-world implementation costs.
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Video Digest: A Factor-Based Approach to Disruptor-Based Sectors
A video digest of our most recent weekly research commentary on using factors to allocate to new products like sector disruptor ETFs.
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The State of Risk Management
We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.
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A Factor-Based Approach to Disruptor-Based Sectors
Sector disruptors are new products that can be hard to allocate to. The proven history of factors (momentum, etc.) can be a guide.
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Video Digest: Mean Reversion and Bond ETF Returns
A video digest of our most recent weekly research commentary on the evidence of mean reversion in returns for fixed income.
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Our Conversation with Meb Faber
The thoughts and commentary of the team at Newfound on our podcast conversation with Meb Faber.
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Mean Reversion and Bond ETF Returns
The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.
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Video Digest: Measuring Process Diversification in Trend Following
A video digest of our most recent weekly research commentary on measuring process diversification within the context of trend following strategies.
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Measuring Process Diversification in Trend Following
In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.
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Our Conversation with Eric Ervin
The thoughts and commentary of the team at Newfound on our podcast conversation with Eric Ervin.
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Machine Learning, Subset Resampling, and Portfolio Optimization
We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.
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Our Conversation with Tobias Carlisle
The thoughts and commentary of the team at Newfound on our podcast conversation with Tobias Carlisle
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Momentum’s Magic Number
The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.
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Our Conversation with Adam Butler
The thoughts and commentary of the team at Newfound on our podcast conversation with Adam Butler.
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On Performance Commentary
Ex-post performance commentary is meaningless without ex-ante expectations. With appropriately set expectations, step-wise decomposition can be insightful.
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The New Glide Path
Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?
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Flirting with Models Podcast
Introducing Newfound Research's new podcast: Flirting with Models, the show that pulls back the curtain to meet the investors behind quant strategies.
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The Raw Materials for Active Management
Explaining why active management performs a certain way in an environment is tough. Predicting this difference is even harder. Diversification is key.
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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.
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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.
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