Flirting with Models

Research Library of Newfound Research

Author: Justin Sibears (Page 1 of 10)

Navigating Municipal Bonds With Factors

We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.

Crisis Alpha: A Simple ETF Approach

Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.

Anatomy of a Bull Market: Follow-Up

Drivers of equity returns vary depending on the time horizon we study. The impact of valuation changes diminishes as the time period is increased.

Anatomy of a Bull Market

Bull markets come in all shapes and sizes. We analyze historical market cycles on criteria such as duration, magnitude, velocity, and source of return.

Embracing Conflict in Asset Allocation

Embracing conflict in asset allocation by using multiple approaches can help investors harvest the sizable benefits of process diversification.

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