Flirting with Models

The Research Library of Newfound Research

Tag: momentum (Page 1 of 10)

Value and the Credit Spread

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

Time-Series Signals and Multi-Sector Bonds

We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.

Quantitative Styles and Multi-Sector Bonds

In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.

Country Rotation with Growth/Value Sentiment

We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.

Tactical Portable Beta

We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.

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