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Flirting with Models The Research Library of Newfound Research Main Invest Podcast Contact Main Invest Podcast Contact Recent Research 15 Ideas, Frameworks, and Lessons from 15 Years Today, August 28th, 2023, my company Newfound Research turns 15. Read more. Is Managed Futures Value-able? In Return StackingTM: Strategies for Overcoming a Low Return Environment, we Read more. Index Funds Reimagined? A critical review of Research Affiliates’s paper "Reimagining Index Funds," finding unintended style drift in the construction methodology. Read more. Portfolio Tilts versus Overlays: It’s Long/Short Portfolios All the Way Down Several years ago, I started using the phrase, It’s long/short Read more. What Is Managed Futures? Summary Much like in 2008, managed futures as an investment Read more. The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck We have published a new paper on the topic of Read more. Return Stacking in an Inverted Yield Curve Environment Introduction When we first started publicly writing and talking about Read more. Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants This paper is unlike any research we’ve shared in the Read more. Rebalance Timing Luck: The (Dumb) Luck of Smart Beta We are proud to announce the release of our newest Read more. Heads I Win, Tails I Hedge We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection. Read more. Option-Based Trend Following Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw. Read more. Tail Hedging In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program. Read more. Defensive Equity with Machine Learning This post is available as a PDF download here. Summary Read more. Straddles and Trend Following A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles. Read more. Tranching, Trend, and Mean Reversion While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio. Read more. One Hedge to Rule Them All There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don’t is the goal. Read more. Why Trend Models Diverge We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals. Read more. Ensembles and Rebalancing While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies. Read more. Diversification with Portable Beta Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other. Read more. Payoff Diversification We explore the ’how’ of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum. Read more. 1 2 3 … 6 Next » Search Recent Posts 15 Ideas, Frameworks, and Lessons from 15 Years August 28, 2023 Is Managed Futures Value-able? June 19, 2023 Index Funds Reimagined? May 19, 2023 Portfolio Tilts versus Overlays: It’s Long/Short Portfolios All the Way Down April 12, 2023 What Is Managed Futures? 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