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 factors (value, size, momentum,...

Tail risk is usually an important consideration for investors, and a desire to limit catastrophic loss has led to significant interest in protection strategies. Across four distinct market periods surrounding the COVID pandemic, we explore three common tail-risk mitigation strategies (1) a long...

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...

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...

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...