Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 1 of 7)

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

One Hedge to Rule Them All

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

What the Trend

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

Domestic Fixed Income Factor Implementations

We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.

Diversification with Portable Beta

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

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