Flirting with Models

The Research Library of Newfound Research

Tag: value (Page 1 of 4)

Index Funds Reimagined?

A critical review of Research Affiliates's paper "Reimagining Index Funds," finding unintended style drift in the construction methodology.

Diversification with Portable Beta

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

Should I Stay or Should I Growth Now?

Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.

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.

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