Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 2 of 60)

Disproving a Signal

Last week we introduced a signal for country rotation. This week, we walk through the steps taken to explore the robustness of the signal.

Country Rotation with Growth/Value Sentiment

We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.

Tactical Portable Beta

We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.

Style Surfing the Business Cycle

In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.

The Speed Limit of Trend

Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.

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