Flirting with Models

The Research Library of Newfound Research

Category: Risk & Style Premia (Page 4 of 16)

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

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.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

Global Growth-Trend Timing

In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.

Factor Orphans

We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.

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