Tag: carry (Page 1 of 3)
We apply time-series momentum, value, carry, and reversal signals in fixed income and find them to be selectively significant and rarely consistent.
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.
In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.
Domestic Fixed Income Factor Implementations
By Steven Braun
On March 2, 2020