volatility Archives | Flirting with Models

Tag: volatility (Page 1 of 5)

Quantitative Styles and Multi-Sector Bonds

By Corey Hoffstein

On June 10, 2019

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

Quantifying Timing Luck

By Corey Hoffstein

On January 22, 2018

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.

Accounting for Autocorrelation in Assessing Drawdown Risk

By Nathan Faber

On August 21, 2017

Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.

Crisis Alpha: A Simple ETF Approach

By Justin Sibears

On February 21, 2017

Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.

The State of Risk Management

By Corey Hoffstein

On May 18, 2016

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.

We work exclusively with institutions and financial advisors.

Firm and investment overview brochure →

You are about to leave thinknewfound.com and are being redirected to the website for Newfound Research Funds.