Month: October 2019
We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.
We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.
Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
By Corey Hoffstein
On October 28, 2019