Category: Value (Page 2 of 4)
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
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.
The Dumb (Timing) Luck of Smart Beta
By Corey Hoffstein
On November 18, 2019