Flirting with Models

The Research Library of Newfound Research

Category: Value (Page 2 of 4)

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

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.

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.

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.

Factor Fimbulwinter

With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"
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