Flirting with Models

The Research Library of Newfound Research

Tag: momentum (Page 1 of 11)

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.

Domestic Fixed Income Factor Implementations

We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.

Diversification with Portable Beta

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

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.

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