Flirting with Models

Research Library of Newfound Research

Tag: size (Page 1 of 2)

Do Factors Market Time?

Traditional academic equity factors exhibit time-varying beta exposure. Does this varying exposure imply returns from "market timing"?

A Simulation-Based Rebuttal to Research Affiliates

Research Affiliates has published new research showing managers fail to capture theoretical factor returns. But is it their research method flawed?

Visualizing the Anxiety of Active Strategies

We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.

Managing Active Risk

When investors choose active managers, they introduce active risk into their portfolio, an extra risk that should be be accounted for in risk management.

Harvesting the Size Factor Premium

The size factor risk-premium has been elusive in recent history. Focusing on alternative methods of harvesting it may benefit investors in the long run.

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