Flirting with Models

The Research Library of Newfound Research

Month: January 2018

Timing Bonds with Value, Momentum, and Carry

In this research note we explore quantitative trend, value, and carry signals for timing exposure to bonds and find evidence of their historical efficacy.

Quantifying Timing Luck

Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.

Factor Investing & The Bets You Didn’t Mean to Make

Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.

Levered ETFs for the Long Run?

Levered ETFs are often dismissed as not suitable for buy-and-hold investors, but they may be able to play a role in creating risk-efficient portfolios.

A Null Hypothesis for the New Year

As investors prepare their portfolios for 2018, we should consider accepting that our evidence may be nothing but a fortunate permutation of randomness.
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