Systematic Value

Newfound Research

Research

19 Pages

Newfound Research presents a systematic value investing framework designed to reduce specification and timing risk by combining multiple valuation approaches. Rather than identifying the best method, the paper explores how an ensemble approach can deliver consistent exposure to the value style.

Key Takeaways

Specification Risk Dispersion: alue ETFs can differ by over 40% in sector weights, showing how implementation choices drive large performance differences.
Tranching Timing Diversification: The portfolio invests 1/60th monthly across 60 tranches held for 5 years to reduce rebalance timing risk.
Concentrated Exposure Reality: Despite ~140 holdings, the top 10 positions exceed 25% and top 50 surpass 70% of total portfolio weight.
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