Justin Sibears

Portfolio manager at Newfound Research (@thinknewfound). Find our research at

[Justin Sibears @JustinSibears]

Using replication to understand performance of equity long/short.

https://t.co/ovfZumew67

[Justin Sibears @JustinSibears]

Our first strategy brief, a carry/trend/hedge approach to timing duration. Carry and trend would be short today while hedge is long.

https://t.co/7JuwP03Qgq

[Justin Sibears @JustinSibears]

Strategic diversification with bonds alone is akin to an uncertain insurance policy whose price and ultimate payoff in the event of a market crash is highly dependent on the level and path of interest rates. https://t.co/uXKLf44qWR

[Justin Sibears @JustinSibears]

Risk tolerance vs. Risk Capacity vs. Risk Need https://t.co/MTIvBhJTn1

[Justin Sibears @JustinSibears]

First time since $AGG launch in 2003 that it's down three quarters in a row.

[Justin Sibears @JustinSibears]

Using a simple blend of two signals: value (buy for the long-term when spreads 1 std above mean) and momentum (buy for short-term when spreads 1 std below mean), works pretty well on SPY - 3.2% return with 5.8% vol.

[Phil Huber @bpsandpieces]

Doth my 👀 deceive me? Is that a new @EconomPic post I see?!

👇

Market Timing The Credit Cycle

https://t.co/gEUaWGkKWr

[Justin Sibears @JustinSibears]

@brianportnoy Just use risk free rate from fama French.

[Justin Sibears @JustinSibears]

Cash isn't riskless. #failingslow

[Justin Sibears @JustinSibears]

@Foulke_David Just used risk-free rate from fama-french data library. Then adjusted time-series using CPI from Shiller.

[Nick Maggiulli @dollarsanddata]

These are the drawdowns of the 5 BEST performing stocks since March 2009.

@awealthofcs kills it in this piece. A great reminder on why you can't have lots of reward without also taking on lots of risk:

https://t.co/0LXmmB5x6U

[Justin Sibears @JustinSibears]

A primer on trend-following with equities. https://t.co/oFeqrgfSKx

[Justin Sibears @JustinSibears]

How do the largest U.S. momentum ETFs go about measuring momentum? $MTUM, $PDP, $ONEO, $FDMO, $QMOM

[Justin Sibears @JustinSibears]

"Adding uncertainty to a certain past creates more certainty about an uncertain future."

[Newfound Research @thinknewfound]

The Misleading Lessons of History https://t.co/7J6GVfUYYG

[Justin Sibears @JustinSibears]

So good.

[Adam Butler @GestaltU]

@CliffordAsness has the pedigree, confidence and eloquence to express how all managers of systematic strategies feel about writing commentaries when their strategies are suffering.

Must read for investors and managers alike.

https://t.co/T5I2NI4UBp

[Justin Sibears @JustinSibears]

@EricBalchunas Active

[Justin Sibears @JustinSibears]

Roughly 1/3 of iShares ETF revenue comes from 10 names: $EFA, $EEM, $IWM, $IWF, $HYG, $EWJ, $PFF, $IWD, $DVY, $IEMG. 50% of revenue comes from 21 names. $EEM and $EFA alone make up almost 14%.

[Justin Sibears @JustinSibears]

@etfminer I believe I ran across a paper on this at some point. Will try to dig it up.

[Justin Sibears @JustinSibears]

1/ 28% of MSCI USA constituents are in none of their four main factor indices (momentum #MTUM, quality #QUAL, low volatility #USMV, value #VLUE). These are the low momentum, high risk, expensive, and junky stocks. Around half make it into one factor index. None in all four.

[Justin Sibears @JustinSibears]

James Grant: To suppose that the value of a stock is determined purely by a corporation’s earnings is to forget that people have burned witches, gone to war on a whim, risen to the defense of Joseph Stalin, and believed Orson Welles when he told them that the Martians had landed.

[Morgan Housel @morganhousel]

Concealed Emotions

https://t.co/URNVccllGs

[Justin Sibears @JustinSibears]

@choffstein I don't even know where to start with that.

[Justin Sibears @JustinSibears]

4/ Next is low risk, high quality, cheap: $AFL, $AAPL, $IBM, $NNN, $T. Then low risk, high momentum, cheap: $TGT, $ANTM, $INTC, $CSCO. Finally high momentum, quality cheap: $KORS, $VLO, $JLL

[Justin Sibears @JustinSibears]

3/ Of the stocks in three of the four factor portfolios. There are four categories. Most frequent is low risk, high quality, high momentum: $NKE, $ROST, $VFC, $COST, $EL, $BF, $GR, $CHRW, $V, $MA, $ACN, $TXN, $INTU, $BR, $JKHY, $FFIV