The Dumb (Timing) Luck of Smart Beta
In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
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The Limit of Factor Timing
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
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Global Growth-Trend Timing
In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.
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Factor Orphans
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
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Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?
We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.
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Yield Curve Trades with Trend and Momentum
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.
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Macro Timing with Trend Following
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.
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Macro and Momentum Factor Rotation
We explore macro- and momentum-driven factor rotation of U.S. equity factors. These methods may not offer much benefit over naïve, equal-weight approach.
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Trend Following Active Returns
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
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Factors and the Glide Path
We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.
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Sector Momentum
We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.
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Es-CAPE Velocity: Value-Driven Sector Rotation
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.
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Using PMI to Trade Cyclicals vs Defensives
We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.
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Your Style-age May Vary
New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.
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Harvesting the Bond Risk Premium
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
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Timing Luck and Systematic Value
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
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Ensemble Multi-Asset Momentum
We use a multi-asset momentum framework to explore the potential benefits of ensemble construction in diversifying process and rebalance risk.
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Decomposing the Credit Curve
We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.
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Value and the Credit Spread
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
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Time-Series Signals and Multi-Sector Bonds
We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.
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