Flirting with Models

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Tag: fixed income (Page 1 of 4)

Video Digest: Mean Reversion and Bond ETF Returns

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On August 10, 2018

A video digest of our most recent weekly research commentary on the evidence of mean reversion in returns for fixed income.

Mean Reversion and Bond ETF Returns

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On August 6, 2018

The fixed coupon and maturity of bonds act live gravity, causing mean reversion in returns. Short-term underperformance might suggest a positive forecast.

Navigating Municipal Bonds With Factors

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On May 15, 2017

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

Should we celebrate rising rates?

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On November 28, 2016

Are rising rates something to fear or something to celebrate? In this post we explore the opportunities hidden in a rising rate environment.

Diversification opportunities in fixed income

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On June 13, 2016

Page 1 of 4

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