Flirting with Models

Research Library of Newfound Research

Category: Smart Beta (Page 1 of 7)

Duration Timing with Style Premia

Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?

Factors & Financial Planning

Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?

Do Factors Market Time?

Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?

Can We Improve Sector Rotation?

Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?

Navigating Municipal Bonds With Factors

We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.

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