Flirting with Models

The Research Library of Newfound Research

Tag: value (Page 3 of 4)

Factor Fimbulwinter

With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"

Timing Bonds with Value, Momentum, and Carry

In this research note we explore quantitative trend, value, and carry signals for timing exposure to bonds and find evidence of their historical efficacy.

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.

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?

Navigating Municipal Bonds With Factors

While quantitative styles such as value, momentum, low volatility, and carry have been applied to equities, we explore their use within municipal bonds.