Flirting with Models

The Research Library of Newfound Research

Month: July 2019 (Page 1 of 2)

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

Ensemble Multi-Asset Momentum

We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.

Q2 2019 Video Commentary

A recap of quantitative tactical signals at the end of Q2, including momentum, valuation, and carry signals for different asset classes.

Dynamic Spending in Retirement Monte Carlo

Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.

Decomposing the Credit Curve

We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.

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