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Diversifying the What, How, and When of Trend Following
Naรฏve and simple long/flat trend following approaches have demonstrated considerable consistency and success in U.S. equities. We explore how investors can think about introducing greater diversification across the three axes of what, how, and when in effort to build a more robust tactical solution.
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Newfound 2018 March Madness: Final Four Update
Here is the Final Four update for our 2018 March Madness Bracket Challenge. Our rules are not your typical bracket rules; we isolate the skill from the luck! Find out what the next two rounds could have in store for your bracket.
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Protect & Participate: Managing Drawdowns with Trend Following
For investors looking to diversify how they manage risk, we believe the trend following represents a high transparent, and historically effective, alternative.
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Two Centuries of Momentum
As a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidenceย and a century of successful empirical results.
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Newfound 2018 March Madness: Sweet 16 Update
Our 2018 March Madness bracket challenge is well underway. Let's take a look at the current standings and some trends we are seeing in the field.
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You Are Not a Monte-Carlo Simulation
Our lives are not a monte-carlo simulation. Because we all live in a multi-period world where we have a single investment portfolio that compounds over time, managing risk can help us maximize our long-term growth rate even if it seems foolish in hindsight.
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Newfound’s 2018 March Madness Bracket Challenge
Are you tired of March Madness bracket rules that don't adequately reward your true skill? Sign up for Newfound's March Madness 2018 Bracket Challenge to showcase your true selection ability.
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March Madness for Investors
March Madness competitions with non-standard rules have many parallels to investing. Diversification, model development, backtesting, and evaluating assumptions all come into play.
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Thinking in Long/Short Portfolios
While few investors explicitly hold long/short portfolios, every active portfolio can be thought of as the benchmark plus a long/short representing the active bets. We use this framework to distinguish the quantity versus quality of active exposures.
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The Diversification Dangers of DIY Tactical
While DIY Tactical ETF strategies became popular after 2008, we often see implementations that fail to adequately diversify. We outline three ways in which we see this manifest: a failure to diversify what, how, and when.
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RIP XIV
From inception through 12/31/2017, XIV earned over 40% annualized per year since inception. It then lost over 90% of its value in two days. Was XIV an example of Taleb's Turkey or is there a deeper lesson to be learned?
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Should You Dollar-Cost Average?
Dollar-cost averaging (DCA) is often touted as superior to lump sum investing, but there are many scenarios where DCA may be inferior. The market environment and investor behavior both play large roles in the decision of which route to take.
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Three ETF-Based Ways to Leverage Your 60/40 Without Margin
We explore three ETF-Based ways to leverage your 60/40 without margin. We explore high beta ETFs, levered ETFs, and derivative-based ETNs as potential tools and look at the benefits and risks of each approach.
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Timing Bonds with Value, Momentum, and Carry
With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds โ€“ like value, momentum, and carry โ€“ to add significant value to passive buy-and-hold.
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Quantifying Timing Luck
Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.
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Factor Investing & The Bets You Didn’t Mean to Make
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
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Levered ETFs for the Long Run?
Levered ETFs are often dismissed as not suitable for buy-and-hold investors, but they may be able to play a role in creating risk-efficient portfolios.
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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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