Flirting with Models

Research Library of Newfound Research

Tag: duration (Page 1 of 2)

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?

Rates fell, so why did Canadian preferreds lose 20%?

The Bank of Canada cut rates in 2015 – so why did Canadian preferreds lose 20%? And what can American investors learn from this experience?

Be Careful How You Play Rising Rates

The prospect of rising rates is constantly in the news, but simply shortening duration may not protect a portfolio. Doing so could result in a worse outcome

Duration Management May Not Be Enough

Estimating the Historical Duration of Bond Portfolios

Looking up the current duration of an ETF is easy; estimating the historical duration is not. We look at a reactive way to reduce estimation risk.

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