July 2019

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Model (Net) Portfolio Performance

Please see important disclosures below.


Trend Equity

  July YTD 1-Year
Risk Managed U.S. Sectors 1.29% 9.61% 1.94%
U.S. Factor Defensive Equity 1.20% 9.60% 0.44%
Risk Managed Global Sectors -0.06% 7.75% -1.06%
Risk Managed Small-Cap Sectors 1.64% 0.22% -18.65%
U.S. Trend Equity Index 1.29% 7.12% -0.37%
NRROMOT Index 0.88%    

Tactical Multi-Asset

  July YTD 1-Year
Multi-Asset Income 0.65% 6.85% -1.19%
NQGRMICT (CAD) Index 0.53% 8.17% 3.64%

Fixed Income

  Yield Forecast July YTD 1-Year
Target Excess Yield +1% 3.45% 0.32% 4.85% 3.88%
Target Excess Yield +2% 4.40% 0.42% 7.56% 5.07%
Target Excess Yield +3% 5.32% 0.54% 9.25% 6.77%
Target Excess Yield +4% 6.11% 0.16% 7.89% 5.32%

Equity Factor

  July YTD 1-Year
Systematic Value* 2.01% 16.11% -0.01%
*Strategy information available upon request

Strategic Allocation

  July YTD 1-Year
QuBe 0/100 0.40% 6.55% 6.57%
QuBe 20/80 0.38% 7.74% 5.47%
QuBe 40/60 0.31% 8.28% 4.22%
QuBe 60/40 0.19% 9.18% 2.92%
QuBe 80/20 0.09% 10.13% 1.97%
QuBe 100/0 -0.14% 11.00% 1.18%
QuBe Income 0.44% 9.09% 6.45%
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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 9/14/2013 for Multi-Asset Income, prior to 10/1/2013 for Target Excess Yield, and prior to 3/31/2019 for U.S. Trend Equity Index.

Model returns are net of an assumed management fee.  All models assume a 0.5% annual management fee, except for 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.

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.

We know investors care deeply about protecting the capital they have worked hard to accumulate. And as investors approach and enter retirement, managing “sequence risk” becomes even more important.

Newfound Research is a quantitative asset management firm with a focus on risk-managed, tactical asset allocation strategies.  We were founded in August 2008 and are based out of Boston, MA.

We work exclusively with institutions and financial advisors.

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