General

Mean Reversion and Bond ETF Returns: The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.  (Video Digest)

Duration Timing

Duration Timing with Style Premia: Value, momentum, carry, and an explicit measure of the bond risk premium all produce strong absolute and risk-adjusted returns for timing duration.

Timing Bonds with Value, Momentum and Carry: Using value, momentum, and carry techniques in order to vary bond exposure.

A Carry-Trend-Hedge Approach to Duration Timing: Using the slope of the yield curve, prior returns, and prior equity returns to inform duration exposure.

Cross-Sectional Factors

Navigating Municipal Bonds With Factors: A portfolio formed with the low volatility, value, and carry factors has sufficiently low turnover that these factors may have value in setting strategic allocations across municipal bond sectors.

 

 


Information on Newfound’s fixed income strategies is available here.  Specific research and educational materials are available below: