Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 2 of 7)

Timing Trend Model Specification with Momentum

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

A Conversation on Rebalance Timing Luck

A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
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