May 2020

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SMAs Mutual Funds ETFs Model Delivery

Model (Net) Portfolio Performance

Please see important disclosures below.


Trend Equity

  May YTD 1-Year
Risk Managed U.S. Sectors 1.39% -18.91% -4.77%
U.S. Factor Defensive Equity 1.56% -19.51% -6.57%
Risk Managed Global Sectors 4.63% -17.86% -5.67%
Risk Managed Small-Cap Sectors 3.80% -26.30% -17.14%
U.S. Trend Equity Index 0.63% -19.83% -6.64%
NRROMOT Index 0.62% -19.19% -9.26%

Portable Beta

  May YTD 1-Year
10Y UST Futures (Value / Momentum / Carry) 0.09% 4.06% 4.92%


Tactical Multi-Asset

  May YTD 1-Year
Multi-Asset Income 0.50% -17.97% -12.28%
NQGRMICT (CAD) Index 1.04% -9.01% -4.44%

Fixed Income

  Yield Forecast May YTD 1-Year
Target Excess Yield +1% 2.44% 1.21% -2.07% 0.13%
Target Excess Yield +2% 3.59% 2.63% -4.70% -1.55%
Target Excess Yield +3% 4.67% 4.04% -6.31% -1.08%
Target Excess Yield +4% 5.58% 6.52% -7.26% -0.55%

Equity Factor

  May YTD 1-Year
Systematic Value* 3.41% -20.69% -4.69%
*Strategy information available upon request

Strategic Allocation

  May YTD 1-Year
QuBe 0/100 0.98% 1.80% 5.93%
QuBe 20/80 1.59% -1.31% 4.35%
QuBe 40/60 2.33% -4.99% 2.04%
QuBe 60/40 2.96% -7.72% 0.46%
QuBe 80/20 3.53% -9.98% -0.72%
QuBe 100/0 3.96% -11.47% -0.73%
QuBe Income 1.56% -2.00% 4.47%
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Model and index returns are hypothetical.  Returns are backtested prior to 2/26/2015 for Risk Managed U.S. Sectors, prior to 12/22/2014 for U.S. Factor Defensive Equity, prior to 8/20/2013 for Risk Managed Global Sectors, prior to 8/20/2013 for Risk Managed Small-Cap Sectors, prior to 3/31/2019 for U.S. Trend Equity Index, and prior to 6/24/2019 for Newfound/ReSolve Robust Equity Momentum Index (NRROMOT), prior to 6/17/2019 for Portable Beta mandates, prior to 9/14/2013 for Multi-Asset Income, prior to 6/30/2014 for the NASDAQ Global Risk Managed Income Index (NQGRMICT), and prior to 10/1/2013 for Target Excess Yield.

Model returns are net of an assumed management fee.  All models assume a 0.5% annual management fee, except for Portable Beta mandates (which are overlaid on other strategies) and the QuBe portfolios which are available as free-to-subscribe model allocations.  Index returns are gross of any management fees.  Except as is specifically provided, neither index nor model returns reflect the impact of trading fees such as taxes, transaction costs, etc.  Model and index returns are inclusive of underlying ETF management fees where applicable. The performance results include reinvestment of dividends, capital gains and other earnings.  

Indices assume that trades are implemented on the first trading day after a rebalance is required. The execution price prior to 10/1/15 was assumed to be the open. On and after 10/1/15, the execution price is an estimate of the TWAP. Index start dates are determined by the time it takes Newfound's models to calibrate given available market data.

Backtested performance is not based on live results produced by an investor’s actual investing and trading, but was achieved by the retroactive application of a model designed with the benefit of hindsight, and is not based on live results produced by an investor’s investment and trading, and fees, expenses, transaction costs, commissions, penalties or taxes have not been netted from the gross performance results except as is otherwise described in this presentation. The performance results include reinvestment of dividends, capital gains and other earnings. Backtested performance does not reflect contemporaneous advice or record keeping by an investment adviser. Actual, live client results may have materially differed from the presented performance results.

Newfound's dynamic, volatility-adjusted momentum model (which is utilized in all of the products except the Target Excess Yield suite, Systematic Value, and the QuBe suite), has helped power live investment decisions since September 2008.  

About Newfound

While other asset managers focus on alpha, our first focus is on managing risk.

Newfound Research LLC is an investment firm dedicated to helping investors pro-actively navigate the risks of investing through industry-leading research and investment acumen.

We offer high conviction, systematically-managed tactical allocation strategies.

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