This post is available as a PDF download here. Summary After the Great Financial Crisis, the Momentum factor has exhibited positive returns, but those returns have been largely driven by the short side of the portfolio. One research note suggests that this is driven by increased risk aversion among investors, using the correlation of high […]
Search results: "momentum" Page 1 of 15
This post is available as a PDF download here. Summary Yield curve changes over time can be decomposed into Level, Slope, and Curvature changes, and these changes can be used to construct portfolios. Market shocks, monetary policy, and preferences of different segments of investors (e,g. pensions) may create trends within these portfolios that can be […]
This post is available as a PDF download here. Summary While many investors have adopted a multi-factor approach to style investing, some have pushed these boundaries by advocating for an active, rotational approach to factor allocation. In a recent white paper, MSCI suggests several methods that might be conducive for performing style rotation, including macro-, […]
This post is available as a PDF download here. Summary We explore a representative multi-asset momentum model that is similar to many bank-based indexes behind structured products and market-linked CDs. With a monthly rebalance cycle, we find substantial timing luck risk. Using the same basic framework, we build a simple ensemble approach, diversifying both process […]
Timing Trend Model Specification with Momentum
By Corey Hoffstein
On December 23, 2019
In Craftsmanship, Risk & Style Premia, Trend, Weekly Commentary
A PDF version of this post is available here. Summary Over the last several years, we have written several research notes demonstrating the potential benefits of diversifying “specification risk.” Specification risk occurs when an investment strategy is overly sensitive to the outcome of a single investment process or parameter choice. Adopting an ensemble approach is […]