Flirting with Models

The Research Library of Newfound Research

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Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

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.

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