Quant Mashup - Flirting with Models Newfound Takes 2nd & 3rd in 2015 NAAIM Wagner Award Competition [Flirting with Models]We are proud to announce that Nathan Faber and Andrew Gogerty – both members of Newfound Research's Investment Strategies team – placed 2nd and 3rd, respectively, in the 2015 National Association of Active Investment Managers (NAAIM) Wagner Award Competition.The NAAIM Wagner Award is(...) Weekly Commentary – On Equal-Weight Sectors [Flirting with Models]Special Announcement Newfound’s first quarter commentary is now available on our website and can be accessed here. Market Thoughts Those familiar with our Risk Managed Sector series (U.S. large-cap, U.S. small-cap, and global large-cap) know that we utilize an equal-weighting methodology among the(...) In Rising Rates, Should We "Stop, Drop, and Roll"? [Flirting with Models]In a prior blog post, I wrote about a simple formula that can be utilized to understand the impact that rising rates may have upon a constant maturity fixed-income index. Emanuel Derman wrote a similar post about constant duration indices. While most people are aware of duration and how to use it to(...) Questioning Your Most Dangerous Assumptions: Does Rebalancing Add Value? [Flirting with Models]In a prior post, I waxed philosophical about the importance of remaining skeptical of the assumptions that underlie portfolio construction. Another commonly accepted assumption is that rebalancing is a value-add activity. The underlying theory here is that assets tend to mean-revert over time, so by(...) Industry Group Momentum & Timing Risk [Flirting with Models]In the Credit Suisse Global Investment Returns Yearbook 2015, there is a section dedicated to industry group analysis. Beyond an interesting history lesson about the rise and fall of certain industries, the piece demonstrated the strength of both momentum- and value-based investing when it came to(...) Questioning Your Most Dangerous Assumptions: Sector Rotation [Flirting with Models]The term "black swan" has become synonymous with "rare event" – but the original concept proposed by Nassim Taleb was a bit more nuanced. The term came from the latin phrase "rara avis in terris nigroque simillima cygno": a rare bird in the lands and very much like a(...) Volatility and "Crashing Up" [Flirting with Models]A frequent point of conversation that we have at Newfound – both internally and with advisors – is the role of volatility as a measure of risk. On the one hand, from a statistical point of view, higher volatility implies a greater potential magnitude of loss. On the other hand, investors are(...)