Flirting with Models

The Research Library of Newfound Research

Month: August 2019

Es-CAPE Velocity: Value-Driven Sector Rotation

We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.

Using PMI to Trade Cyclicals vs Defensives

We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.

Your Style-age May Vary

New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.