Flirting with Models

The Research Library of Newfound Research

Category: Carry (Page 1 of 2)

Quantitative Styles and Multi-Sector Bonds

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

Tactical Portable Beta

We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.

A Carry-Trend-Hedge Approach to Duration Timing

In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.

Factor Fimbulwinter

With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"

Timing Bonds with Value, Momentum, and Carry

In this research note we explore quantitative trend, value, and carry signals for timing exposure to bonds and find evidence of their historical efficacy.

Page 1 of 2