Flirting with Models

The Research Library of Newfound Research

Month: May 2019

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.

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.

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.

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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