Flirting with Models

The Research Library of Newfound Research

Category: Value (Page 1 of 6)

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

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.

Should I Stay or Should I Growth Now?

Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.

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.

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