Flirting with Models

Research Library of Newfound Research

Tag: volatility (Page 1 of 5)

Quantifying Timing Luck

By

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

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

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

On May 18, 2016

Indexed Annuity: Masking Risk, Not Destroying It

By

On May 4, 2016

Page 1 of 5

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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.

We work exclusively with institutions and financial advisors.





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About Us

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.

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