Flirting with Models

The Research Library of Newfound Research

Tag: value (Page 2 of 7)

Country Rotation with Growth/Value Sentiment

We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.

Tactical Portable Beta

We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.

Factor Fimbulwinter

We explore the evidence that would be required for us to dismiss established anomalies. We find that we would likely have to live through several careers.

Timing Bonds with Value, Momentum, and Carry

With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.

Factor Investing & The Bets You Didn’t Mean to Make

Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.

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