Flirting with Models

The Research Library of Newfound Research

Tag: momentum (Page 2 of 11)

Build Your Own Long/Short

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

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

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.

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