Flirting with Models

Research Library of Newfound Research

Tag: value (Page 1 of 4)

A Gentle Guide to Global Tactical Asset Allocation

An introduction to global tactical asset allocation ("GTAA") using systematic styles like value, momentum, carry, defensive and trend.

Duration Timing with Style Premia

Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?

Factors & Financial Planning

Factors are often discussed as a means to potential enhance portfolio return; but how should factors be combined when portfolio goals are considered?

Do Factors Market Time?

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

Navigating Municipal Bonds With Factors

We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.

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