Time-Series Signals and Multi-Sector Bonds
We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.
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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.
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Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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Our Systematic Value Philosophy
This commentary introduces the philosophy and process behind our Systematic Value portfolio, which seeks to create style pure exposure to equity deep value.
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Country Rotation with Growth/Value Sentiment
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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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.
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Style Surfing the Business Cycle
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
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The Speed Limit of Trend
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
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Introducing the Newfound Research U.S. Trend Equity Index
Introducing the Newfound Research U.S. Trend Equity Index, a specification-neutral benchmark for trend equity strategies.
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The Monsters of Investing: Fast and Slow Failure
Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.
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How Much Accuracy Is Enough?
Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.
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Three Applications of Trend Equity
The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.
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G̷̖̱̓́̀litch
The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.
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Trend: Convexity & Premium
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
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No Pain, No Premium
We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.
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Tightening the Uncertain Payout of Trend-Following
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
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Fragility Case Study: Dual Momentum GEM
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
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Attack of the Clone: Lessons from Replicating Long/Short Equity
We attempt to replicate the Credit Suisse Long/Short Liquid Index and thereby identify the commonn sources of performance in long/short equity strategies.
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A Carry-Trend-Hedge Approach to Duration Timing
In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.
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Decomposing Trend Equity
We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.
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