Flirting with Models

Research Library of Newfound Research

Tag: value (Page 1 of 3)

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.

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?

All About Factors & Smart Beta

A long-form presentation in which we explore factors (i.e. "smart beta"), covering both the basics of what they and more advanced topics of implementation.

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.

Market Timing with Value

Is it possible to perform market timing with value indicators? We explore a recently published AQR paper on the subject and highlight the salient points.

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