Flirting with Models

The Research Library of Newfound Research

Tag: allocations

Sleuthing Out Allocations

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On October 16, 2017

Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.

Questioning your most dangerous assumptions: is your glide path too risky?

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On May 19, 2015

Glide paths are built from historical return assumptions: but do past returns from U.S. stocks paint too rosy a picture?

Being Strategic about Tactical Allocations II: Inlay v Overlay

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On November 14, 2013

Tactical allocation strategies often suffer from high turnover. Our inlay method runs between rebalance dates to reduce turnover at minimum tracking error.

New Research Paper: Being Strategic About Tactical Allocations

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On September 26, 2013

In our white paper, Being Strategic About Tactical Allocations, we discuss a method of balancing turnover and tactical allocation decisions.

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While other asset managers focus on alpha, our first focus is on managing risk.

We know investors care deeply about protecting the capital they have worked hard to accumulate. And as investors approach and enter retirement, managing “sequence risk” becomes even more important.

Newfound Research is a quantitative asset management firm with a focus on risk-managed, tactical asset allocation strategies.  We were founded in August 2008 and are based out of Boston, MA.

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