Tag: carry (Page 1 of 2)
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.
With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.
Time-Series Signals and Multi-Sector Bonds
By Corey Hoffstein
On June 17, 2019