Prior research demonstrates that performance can be highly sensitive to index construction choices related to rebalance dates. The authors define the measure of “rebalance timing luck” as the standard deviation in returns between identically managed investment portfolios that are rebalanced...

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 the empirical analysis to option-based strategies. As a case study, we replicate a...

A significant amount of time at Newfound is appropriated to quantitative strategy construction. Implicit in mandating quantitative integrity is developing intuition around investment strategy behaviors, throughout the construction process. During one of our strategy deep-dives we discovered a...

There is substantial evidence supporting the existence of a short-term momentum anomaly in blockchain based digital assets. Specifically, those assets which perform best (worst) over a 30 day period tend to continue to outperform (underperform) over the subsequent 7 day period. Long-only...