Flirting with Models

The Research Library of Newfound Research

Tag: duration (Page 2 of 2)

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.

Constructing Portfolios of Constant-Maturity Fixed-Income ETFs

Our recent white paper looks into optimal yield-to-risk portfolios of constant maturity fixed-income investments.

Your Portfolio, Unhedged

Historically, fixed income has provided diversification to equities. What happens if the correlation of fixed income to equities inverts?

A Simple Formula to Understand the Effects of Rising Rates on Constant Maturity Fixed-Income ETFs

For constant maturity fixed income ETFs, the periodic rollover to new issues can be beneficial during rising rates. Duration is not the only factor.

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