Flirting with Models

Research Library of Newfound Research

Author: Corey Hoffstein (Page 1 of 41)

All About Factors & Smart Beta

A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.

Diversification in Multi-Factor Portfolios

We explore new evidence about interaction effects in composite-based multi-factor portfolios and look into FTSE Russell's Tilt-Tilt integrated approach.

Sector Rotation and the Momentum Factor

In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.

Visualizing the Anxiety of Active Strategies

We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.

Market Timing with Value

Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.

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