Flirting with Models

The Research Library of Newfound Research

Month: October 2019

October 2019 Digest

Factor Orphans

We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.

Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

Yield Curve Trades with Trend and Momentum

We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.

Macro Timing with Trend Following

Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
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