Author: Corey Hoffstein (Page 7 of 18)
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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.
Value and the Credit Spread
By Corey Hoffstein
On July 1, 2019