Flirting with Models

The Research Library of Newfound Research

Tag: mean reversion

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

Video Digest: Mean Reversion and Bond ETF Returns

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

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

Returns don’t mean revert, fundamentals do

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