Flirting with Models

The Research Library of Newfound Research

Yield Curve Trades with Trend and Momentum

We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.

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.

Macro and Momentum Factor Rotation

We explore macro- and momentum-driven factor rotation of U.S. equity factors. These methods may not offer much benefit over naïve, equal-weight approach.

Trend Following Active Returns

In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.

Factors and the Glide Path

We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.

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