Flirting with Models

The Research Library of Newfound Research

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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.

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.

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.

Value and the Credit Spread

We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.

Quantitative Styles and Multi-Sector Bonds

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

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