Flirting with Models

The Research Library of Newfound Research

Month: September 2019

Macro and Momentum Factor Rotation

We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.

Trend Following Active Returns

In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.

Factors and the Glide Path

We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.

Build Your Own Long/Short

Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.

Sector Momentum

We explore β€œtop N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.
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