Flirting with Models

The Research Library of Newfound Research

Author: Corey Hoffstein (Page 6 of 18)

Using PMI to Trade Cyclicals vs Defensives

We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.

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 explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.

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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