Flirting with Models

The Research Library of Newfound Research

Tag: momentum (Page 1 of 10)

The Limit of Factor Timing

By

On November 11, 2019

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?

By

On October 21, 2019

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

Build Your Own Long/Short

By

On September 9, 2019

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.

Sector Momentum

By

On September 3, 2019

We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.

Value and the Credit Spread

By

On July 1, 2019

We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.

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