Author: Corey Hoffstein (Page 5 of 18)
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.
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
Factor Orphans
By Corey Hoffstein
On October 28, 2019