Managing Equity Risk When Rates Rise
Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.
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Measuring Risk Tolerance
Risk tolerance is a tricky metric to measure. Riskalyze tries to intuitively quantify this, but be careful not to oversimplify this complex portfolio input.
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Decomposing Trend Equity
We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.
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A Trend Equity Primer
An introduction to trend equity, a strategy that seeks to benefit from the long-term, expected equity risk premium and the convex payoff of trend following.
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The Misleading Lessons of History
Market history can be a potentially misleading guide to the future. Adding more noise to the past returns may create more signal for the future.
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Timing Equity Returns Using Monetary Policy
We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.
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Our Conversation with JD Gardner
The thoughts and commentary of the team at Newfound on our podcast conversation with JD Gardner.
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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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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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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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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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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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