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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Quantitative Styles and Multi-Sector Bonds
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
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Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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Our Systematic Value Philosophy
This commentary introduces the philosophy and process behind our Systematic Value portfolio, which seeks to create style pure exposure to equity deep value.
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Country Rotation with Growth/Value Sentiment
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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Tactical Portable Beta
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.
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