Time-Series Signals and Multi-Sector Bonds
We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.
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Quantitative Styles and Multi-Sector Bonds
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
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Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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Our Systematic Value Philosophy
This commentary introduces the philosophy and process behind our Systematic Value portfolio, which seeks to create style pure exposure to equity deep value.
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Disproving a Signal
Last week we introduced a signal for country rotation. This week, we walk through the steps taken to explore the robustness of the signal.
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Country Rotation with Growth/Value Sentiment
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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Tactical Portable Beta
We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.
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Style Surfing the Business Cycle
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
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The Path-Dependent Nature of Perfect Withdrawal Rates
The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.
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The Speed Limit of Trend
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
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Revisiting The Weird Portfolio
By looking at strategies by their underlying independent risk factors, we explore how even different allocations can lead to closely shared risks.
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Introducing the Newfound Research U.S. Trend Equity Index
Introducing the Newfound Research U.S. Trend Equity Index, a specification-neutral benchmark for trend equity strategies.
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Taxes and Trend Equity
Trend equity is often assumed to be tax inefficient, but it may be tax beneficial by realizing capital gains that reduce the risk of rising tax rates.
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Time Dilation
Information does not flow into the market at a constant rate, and measurements using a fixed time horizon may lead to over- or under-sampling of data.
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Trend Following in Cash Balance Plans
Cash balance plans can accelerate retirement savings beyond 401ks and IRAs. But how they are invested depends heavily on the return guarantee and employees.
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The Monsters of Investing: Fast and Slow Failure
Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.
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How Much Accuracy Is Enough?
Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.
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Three Applications of Trend Equity
The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.
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G̷̖̱̓́̀litch
The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.
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Trend: Convexity & Premium
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
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