Flirting with Models

Research Library of Newfound Research

Tag: factors (Page 1 of 4)

Factor Fimbulwinter

We explore the evidence that would be required for us to dismiss established anomalies. We find that we would likely have to live through several careers.

Separating Ingredients and Recipe in Factor Investing

Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.

Value 2.0

Traditional value strategies may be fundamentally flawed in their construction. Value 2.0 indices fix some of these problems, but not all.

Factors & Financial Planning

Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?

Navigating Municipal Bonds With Factors

We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.

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