Flirting with Models

The Research Library of Newfound Research

Tag: value (Page 1 of 7)

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

Es-CAPE Velocity: Value-Driven Sector Rotation

We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

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.

Page 1 of 7

You are about to leave thinknewfound.com and are being redirected to the website for Newfound Research Funds.