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Why quants don’t pick stocks
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
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Evidence-Based Investing Conference (West)
Yours truly will be attending the Evidence-Based Investing Conference (June 25th - 27th, 2017). The agenda and line-up looks nothing short of spectacular.
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A Simulation-Based Rebuttal to Research Affiliates
Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?
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Did Declining Rates Actually Matter?
It is often said that the bond bull market of the last 30 years was fueled by declining interest rates: but how much did declining rates actually matter?
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The Curious Case of the Missing Credit Premium
Over the last 15 years, the ex-post credit premium has been non-existent. Are corporate bonds worth it or should be just invest in Treasuries?
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All About Factors & Smart Beta
A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.
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Diversification in Multi-Factor Portfolios
We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.
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Sector Rotation and the Momentum Factor
In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.
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Visualizing the Anxiety of Active Strategies
We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.
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Misattributing Bad Behavior
Reported behavior gaps can be very misleading. Disciplined approaches may even show a behavior gap depending on the market environment.
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Crisis Alpha: A Simple ETF Approach
Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.
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Anatomy of a Bull Market: Follow-Up
Drivers of equity returns vary depending on the time horizon we study. The impact of valuation changes diminishes as the time period is increased.
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Anatomy of a Bull Market
Bull markets come in all shapes and sizes. We analyze historical market cycles on criteria such as duration, magnitude, velocity, and source of return.
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Market Timing with Value
Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.
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Should We Be Holding More Cash?
Modern portfolio theory helps us create a Sharpe optimal portfolio, but it also tells us that less risky portfolios should hold significant amounts of cash.
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Managing Active Risk
When investors choose active managers, they introduce active risk into their portfolio, an extra risk that should be be accounted for in risk management.
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Diversification: When 1 + 1 < 2?
Diversification is called the only free lunch in finance. With elevated valuations in stocks and bonds, could the time of the traditional portfolio be over?
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It’s 2017: Do You Know Where Your Risk Is?
In this research commentary, we perform a risk decomposition on traditional asset allocations and find exhibit extremely high risk concentrations.
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A Modern, Behavior-Aware Asset Allocation
A white paper on why we believe tailwinds from the last 30 years are turning into headwinds for traditionally allocated stock-bond portfolios.
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Reflecting on Research in 2016
On behalf of the entire Newfound Research team, we would
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