Flirting with Models

The Research Library of Newfound Research

Tag: factors

Pursuing Factor Purity

In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.

Factor Orphans

We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.

Factor Fimbulwinter

With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"

Navigating Municipal Bonds With Factors

While quantitative styles such as value, momentum, low volatility, and carry have been applied to equities, we explore their use within municipal bonds.

What are Growth and Value?

Growth and value have intuitive definitions but can be quantified in many ways. A diversified approach can lead to more consistent performance over time
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