Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 1 of 63)

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.

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.

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