Flirting with Models

Research Library of Newfound Research

Category: Active Management (Page 1 of 5)

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.

Why quants don't pick stocks

Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.

Sector Rotation and the Momentum Factor

In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.

Visualizing the Anxiety of Active Strategies

We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.

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.

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