Search results: "momentum" (Page 1 of 46)
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.
We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.
We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.
Timing Trend Model Specification with Momentum
By Corey Hoffstein
On December 23, 2019