Flirting with Models

The Research Library of Newfound Research

Category: Craftsmanship (Page 3 of 7)

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

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.

Our Systematic Value Philosophy

This commentary introduces the philosophy and process behind our Systematic Value portfolio, which seeks to create style pure exposure to equity deep value.

Disproving a Signal

Last week we introduced a signal for country rotation. This week, we walk through the steps taken to explore the robustness of the signal.
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