Flirting with Models

The Research Library of Newfound Research

Search results: "momentum" (Page 1 of 46)

Timing Trend Model Specification with Momentum

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

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 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.

Sector Momentum

We explore “top 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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