Flirting with Models

Research Library of Newfound Research

Tag: duration (Page 1 of 2)

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.

Timing Bonds with Value, Momentum, and Carry

With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.

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

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