Flirting with Models

The Research Library of Newfound Research

Tag: momentum (Page 2 of 10)

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.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

Fragility Case Study: Dual Momentum GEM

We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.

A Carry-Trend-Hedge Approach to Duration Timing

In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.

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