Flirting with Models

Research Library of Newfound Research

Category: Fixed Income (Page 1 of 5)

Duration Timing with Style Premia

Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?

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.

Did Declining Rates Actually Matter?

It is often said that the bond bull market of the last 30 years was fueled by declining interest rates: but how much did declining rates actually matter?

The Curious Case of the Missing Credit Premium

Over the last 15 years, the ex-post credit premium has been non-existent. Are corporate bonds worth it or should be just invest in Treasuries?

Diversification: When 1 + 1 < 2?

Diversification is called the only free lunch in finance. With elevated valuations in stocks and bonds, could the time of the traditional portfolio be over?

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