Factor Fimbulwinter - Flirting with Models
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"| Flirting with Models
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"| Flirting with Models
Today, August 28th, 2023, my company Newfound Research turns 15. It feels kind of absurd saying that. I know I’ve told this story before, but I never actually expected this company to turn into anything. I started the company while I was still in undergrad and I named it Newfound Research after a lake my […]| Flirting with Models
In Return StackingTM: Strategies for Overcoming a Low Return Environment, we advocated for the addition of managed futures to traditionally allocated portfolios. We argued that managed futures’ low empirical correlation to both equities and bonds and its historically positive average returns makes it an attractive diversifier. More specifically, we recommended implementing managed futures as an overlay […]| Flirting with Models
A critical review of Research Affiliates's paper "Reimagining Index Funds," finding unintended style drift in the construction methodology.| Flirting with Models
Several years ago, I started using the phrase, “It’s long/short portfolios all the way down.” I think it’s clever. Spoiler: it has not caught on. The point I was trying to make is that the distance between any two portfolios can be measured as a long/short strategy. This simple point, in my opinion, is a […]| Flirting with Models
Summary Much like in 2008, managed futures as an investment strategy had an impressive year in 2022. With most traditional asset classes struggling to navigate the inflationary macroeconomic environment, managed futures has been drawing interest as a potential diversifier. Managed futures is a hedge fund category that uses futures contracts as their primary investment vehicle. […]| Flirting with Models
We have published a new paper on the topic of rebalance timing luck in option strategies: The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck. Prior research and empirical investment results demonstrate that strategy performance can be highly sensitive to rebalance schedules, an effect called rebalance timing luck (“RTL”). In this paper we extend […]| Flirting with Models
Introduction When we first started publicly writing and talking about capital efficiency in 2017 – the predecessor conversation to return stackingTM – the 13-week U.S. Treasury Bill rate sat around 1.30%. The prototypical example at the time was a 1.5x levered 60% stock / 40% bond portfolio (also referred to as a “90/60”). Such a […]| Flirting with Models
This paper is unlike any research we’ve shared in the past. Within we dive into the circumstantial evidence surrounding the “weird” behavior many investors believe markets are exhibiting. We tackle narratives such as the impact of central bank intervention, the growing scale of passive / indexed investing, and asymmetric liquidity provisioning. Spoiler: Individually, the evidence […]| Flirting with Models
We are proud to announce the release of our newest paper, Rebalance Timing Luck: The (Dumb) Luck of Smart Beta. Abstract Prior research and empirical investment results have shown that portfolio construction choices related to rebalance schedules may have non-trivial impacts on realized performance. We construct long-only indices that provide exposures to popular U.S. equity […]| Flirting with Models
We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.| Flirting with Models
