Recent Research

Drawdowns and Portfolio Longevity

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Fragility Case Study: Dual Momentum GEM

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Is Multi-Manager Diversification Worth It?

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Dart-Throwing Monkeys and Process Diversification

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Balance-Pedestal-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Balance-Pedestal-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Balance-Pedestal-1024x717.png" />

What do portfolios and teacups have in common?

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

Measuring the Benefit of Diversification

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When Simplicity Met Fragility

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

Attack of the Clone: Lessons from Replicating Long/Short Equity

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A Carry-Trend-Hedge Approach to Duration Timing

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

Decomposing Trend Equity

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A Trend Equity Primer

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Timing Equity Returns Using Monetary Policy

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Trade Optimization

Trade optimization is more technical topic than we usually cover

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The State of Risk Management

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Craftsmanship-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Craftsmanship-1024x717.png" />

Measuring Process Diversification in Trend Following

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Momentum’s Magic Number

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The New Glide Path

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

Factor Fimbulwinter

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<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

How to Benchmark Trend-Following

This post is available as a PDF download here. Summary Benchmarking

<img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" data-src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" src="data:image/gif;base64,R0lGODlhAQABAAAAACH5BAEKAAEALAAAAAABAAEAAAICTAEAOw==" class="lazyload" style="--smush-placeholder-width: 1024px; --smush-placeholder-aspect-ratio: 1024/717;" /><noscript><img decoding="async" alt="" src="https://newfoundblog.wpenginepowered.com/wp-content/uploads/2019/08/Styles-1024x717.png" />

Leverage and Trend Following

This post is available as a PDF download here. Summary

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