Flirting with Models

The Research Library of Newfound Research

Tag: duration

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

In this research note we explore quantitative trend, value, and carry signals for timing exposure to bonds and find evidence of their historical efficacy.

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?