Flirting with Models

The Research Library of Newfound Research

Category: Term (Page 1 of 3)

Yield Curve Trades with Trend and Momentum

We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

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.

Did Declining Rates Actually Matter?

It is often assumed that declining interest rates were a significant boon to fixed income returns over the last several decades; but is that true?

The Ghost of GDP Past

Challenging demographic trends make it unlikely that future GDP growth can continue at a pace consistent with past experience.

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