Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 1 of 61)

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.

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

Ensemble Multi-Asset Momentum

We use a multi-asset momentum framework to explore the potential benefits of ensemble construction in diversifying process and rebalance risk.

Q2 2019 Video Commentary

A recap of quantitative tactical signals at the end of Q2, including momentum, valuation, and carry signals for different asset classes.

Decomposing the Credit Curve

We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.

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