Month: July 2019
We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.
Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.
We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
Timing Luck and Systematic Value
By Corey Hoffstein
On July 29, 2019