Flirting with Models

The Research Library of Newfound Research

Tag: factors (Page 1 of 5)

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.

Factors and the Glide Path

We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.

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

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?"

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