Category: Active Management (Page 1 of 5)
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
Why don't quants pick stocks? Quants prefer to look for broad characteristics where they can diversify away idiosyncratic risk.
In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.
We visualize the anxiety caused by relative performance of several popular factor tilts in comparison to standard market benchmarks.
Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.