Flirting with Models

The Research Library of Newfound Research

Category: Credit

Decomposing the Credit Curve

We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.

Value and the Credit Spread

We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.

Tactical Credit

We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.