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.

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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