Category: Value (Page 2 of 4)
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
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.
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"
Timing Luck and Systematic Value
By Corey Hoffstein
On July 29, 2019