Flirting with Models

The Research Library of Newfound Research

Month: June 2017

Duration Timing with Style Premia

Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?

Is Your Multi-Asset Strategy Really Multi-Asset?

Most multi-asset strategies are very concentrated in a few risk factors. Seeking broad diversification requires diving deeper than the name of the strategy.

Factors & Financial Planning

Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?

Do Factors Market Time?

Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?
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