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We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.
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 a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019