Flirting with Models

Research Library of Newfound Research

Tag: carry

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?

Smart Beta with Muni Bond ETFs

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

Factor Investing in Multi-Asset Portfolios

Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.

Can you avoid rising rates with high carry assets?

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