Flirting with Models

The Research Library of Newfound Research

Category: Credit (Page 1 of 2)

Domestic Fixed Income Factor Implementations

We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.

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.

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?

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