Category: Weekly Commentary (Page 5 of 21)
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.
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.
Global Growth-Trend Timing
By Steven Braun
On November 4, 2019