Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
Tactical equity strategies are favored in rising rate environments and when the equity markets have large absolute moves.
Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.