Tag: carry
Can value, momentum, carry, and an explicit measure of the bond risk premium be used as methods for timing duration in a fixed income portfolio?
We build a systematic municipal bond portfolio. The portfolio uses four factors (low volatility, momentum, value, carry) across six municipal bond sectors.
Factor investing is not limited it equities; it is a multi-asset concept. We present a case study of how we seek factors in our own multi-asset portfolios.
A Gentle Guide to Global Tactical Asset Allocation
By Corey Hoffstein
On August 7, 2017