Tag: momentum (Page 1 of 9)
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
We identify a signal for country rotation (the prior return of growth minus value) that appears distinct from value and momentum signals.
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.
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
Time-Series Signals and Multi-Sector Bonds
By Corey Hoffstein
On June 17, 2019