Flirting with Models

The Research Library of Newfound Research

Tag: low volatility (Page 1 of 2)

Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

Build Your Own Long/Short

Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.

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.

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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