Flirting with Models

Research Library of Newfound Research

Tag: factors (Page 1 of 4)

Video Digest: A Factor-Based Approach to Disruptor-Based Sectors

A video digest of our most recent weekly research commentary on using factors to allocate to new products like sector disruptor ETFs.

A Factor-Based Approach to Disruptor-Based Sectors

Sector disruptors are new products that can be hard to allocate to. The proven history of factors (momentum, etc.) can be a guide.

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.

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