Flirting with Models

The Research Library of Newfound Research

Author: Nathan Faber (Page 1 of 15)

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

Macro Timing with Trend Following

Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

Dynamic Spending in Retirement Monte Carlo

Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.

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