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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.
Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?
By Corey Hoffstein
On October 21, 2019