Author: Corey Hoffstein (Page 2 of 60)
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
Disproving a Signal
By Corey Hoffstein
On May 20, 2019