Author: Corey Hoffstein (Page 6 of 18)
New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.
We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.
Using PMI to Trade Cyclicals vs Defensives
By Corey Hoffstein
On August 19, 2019