Flirting with Models

The Research Library of Newfound Research

Tag: value (Page 1 of 7)

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

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.

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