Flirting with Models

The Research Library of Newfound Research

Category: Defensive (Page 1 of 2)

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

Defensive Equity with Machine Learning

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

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.

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