I’ve written hundreds of research articles on the Newfound blog throughout the years.
I stopped writing last year (got burnt out), so my guess is a lot of new followers don’t even know they exist.
Here are a few that I’m especially proud of ➡️
I stopped writing last year (got burnt out), so my guess is a lot of new followers don’t even know they exist.
Here are a few that I’m especially proud of ➡️
1.
No Pain, No Premium
- Re-thinking portfolio construction from a risk-based framework
- The philosophical limits of diversification
- The “what, how, when” diversification framework
blog.thinknewfound.com/2019/02/no-pai…
No Pain, No Premium
- Re-thinking portfolio construction from a risk-based framework
- The philosophical limits of diversification
- The “what, how, when” diversification framework
blog.thinknewfound.com/2019/02/no-pai…
2.
Tactical Credit + Value and the Credit Spread
- An exploration into making credit trades based upon momentum and valuation signals
blog.thinknewfound.com/2019/06/tactic…
blog.thinknewfound.com/2019/07/value-…
Tactical Credit + Value and the Credit Spread
- An exploration into making credit trades based upon momentum and valuation signals
blog.thinknewfound.com/2019/06/tactic…
blog.thinknewfound.com/2019/07/value-…
3.
Time Dilation
- Conventional analysis looks at time-series using a time-based clock
- But is that the right way to look at financial data?
- We explore the impact of using a volatility-based block
blog.thinknewfound.com/2019/03/time-d…
Time Dilation
- Conventional analysis looks at time-series using a time-based clock
- But is that the right way to look at financial data?
- We explore the impact of using a volatility-based block
blog.thinknewfound.com/2019/03/time-d…
4.
G̷̖̱̓́̀litch
- We explore how the horizon over which trend-following strategies exhibit convexity based upon the speed of the trend model
- h/t to @ArturSepp for the inspiration
blog.thinknewfound.com/2019/02/glitch/
G̷̖̱̓́̀litch
- We explore how the horizon over which trend-following strategies exhibit convexity based upon the speed of the trend model
- h/t to @ArturSepp for the inspiration
blog.thinknewfound.com/2019/02/glitch/
5.
Is Multi-Manager Diversification Worth It?
- When does combining managers reduce volatility?
- Understanding why “how-based” diversification can reduce the “dispersion in terminal wealth”
blog.thinknewfound.com/2019/01/is-mul…
Is Multi-Manager Diversification Worth It?
- When does combining managers reduce volatility?
- Understanding why “how-based” diversification can reduce the “dispersion in terminal wealth”
blog.thinknewfound.com/2019/01/is-mul…
6.
Trade Optimization
- This one is pretty technical (but has code!)
- We explore ways to introduce constraints to reduce explicit and implicit trading costs
blog.thinknewfound.com/2018/08/trade-…
Trade Optimization
- This one is pretty technical (but has code!)
- We explore ways to introduce constraints to reduce explicit and implicit trading costs
blog.thinknewfound.com/2018/08/trade-…
7.
Factor Fimbulwinter
- Back in 2018, value was suffering.
- We asked the simple question: how long would value have to suffer to *undo* the statistical confidence we have based upon the factor’s history
blog.thinknewfound.com/2018/06/factor…
Factor Fimbulwinter
- Back in 2018, value was suffering.
- We asked the simple question: how long would value have to suffer to *undo* the statistical confidence we have based upon the factor’s history
blog.thinknewfound.com/2018/06/factor…
8.
Two Centuries of Momentum
- A long overview of the theory and academic support for both momentum and trend signals
blog.thinknewfound.com/2018/03/two-ce…
Two Centuries of Momentum
- A long overview of the theory and academic support for both momentum and trend signals
blog.thinknewfound.com/2018/03/two-ce…
9.
Thinking in Long/Short Portfolios
- Understanding the implicit short bets that long-only investors have in their portfolios
- Why this decomposition can provide clarity around what active bets are made and the costs associated with them
blog.thinknewfound.com/2018/03/thinki…
Thinking in Long/Short Portfolios
- Understanding the implicit short bets that long-only investors have in their portfolios
- Why this decomposition can provide clarity around what active bets are made and the costs associated with them
blog.thinknewfound.com/2018/03/thinki…
10.
Portable Beta: Making the Most of the Returns You’re Already Getting
- Understanding how leverage can allow you to create more capital effiicnet portfolios
blog.thinknewfound.com/2017/12/portab…
Portable Beta: Making the Most of the Returns You’re Already Getting
- Understanding how leverage can allow you to create more capital effiicnet portfolios
blog.thinknewfound.com/2017/12/portab…
11.
Combining Tactical Views with Black-Litterman and Entropy Pooling
- An exploration of two popular methods for combining strategic and tactical views
blog.thinknewfound.com/2017/07/combin…
Combining Tactical Views with Black-Litterman and Entropy Pooling
- An exploration of two popular methods for combining strategic and tactical views
blog.thinknewfound.com/2017/07/combin…
12.
Did Declining Rates Actually Matter?
- It’s commonly believed that declining rates provided a meaningful tailwind to bonds over the last 40 years…
- But is that actually true?
blog.thinknewfound.com/2017/04/declin…
Did Declining Rates Actually Matter?
- It’s commonly believed that declining rates provided a meaningful tailwind to bonds over the last 40 years…
- But is that actually true?
blog.thinknewfound.com/2017/04/declin…
13. Capital Efficiency in Multi-Factor Portfolios
- Another technical piece (beware of math)
- Explores the implicit factor loadings in integrated versus mixed multi-factor strategies
blog.thinknewfound.com/2016/10/capita…
- Another technical piece (beware of math)
- Explores the implicit factor loadings in integrated versus mixed multi-factor strategies
blog.thinknewfound.com/2016/10/capita…
14.
A shock to the coveriance system
- We use eigen-value decomposition to decompose risk structure into independent sources
- With these sources in hand, we can “shock” risk factors and re-create the associated covariance matrix
blog.thinknewfound.com/2016/10/shock-…
A shock to the coveriance system
- We use eigen-value decomposition to decompose risk structure into independent sources
- With these sources in hand, we can “shock” risk factors and re-create the associated covariance matrix
blog.thinknewfound.com/2016/10/shock-…
15.
Growth is not “not value”
- Going through index provider rules to undertsand how “growth” and “value” indices are actually constructed in practice
blog.thinknewfound.com/2016/02/growth…
Growth is not “not value”
- Going through index provider rules to undertsand how “growth” and “value” indices are actually constructed in practice
blog.thinknewfound.com/2016/02/growth…
16.
Rebalance Timing Luck: The (Dumb) Luck of Smart Beta
- This is just a link to a paper… but I think it’s a really important paper
blog.thinknewfound.com/2020/08/rebala…
Rebalance Timing Luck: The (Dumb) Luck of Smart Beta
- This is just a link to a paper… but I think it’s a really important paper
blog.thinknewfound.com/2020/08/rebala…
17.
Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants
- Why do markets seem to be so weird lately?
- Central banks, passive investing, high frequency traders, and volatility-contingent strategies
blog.thinknewfound.com/2020/09/liquid…
Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants
- Why do markets seem to be so weird lately?
- Central banks, passive investing, high frequency traders, and volatility-contingent strategies
blog.thinknewfound.com/2020/09/liquid…
Okay… that’s enough.
A big, heartfelt “thank you" to everyone who has subscribed to our research throughout the years.
Maybe we’ll start writing actively again, one day...
A big, heartfelt “thank you" to everyone who has subscribed to our research throughout the years.
Maybe we’ll start writing actively again, one day...
This got more popular than expected.
Big shout out to @MebFaber, @alphaarchitect and @GestaltU who have also published hundreds of articles on their own blogs over the last decade.
Many gems hidden in there.
Big shout out to @MebFaber, @alphaarchitect and @GestaltU who have also published hundreds of articles on their own blogs over the last decade.
Many gems hidden in there.
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