momentum Archives | Flirting with Models

Tag: momentum (Page 1 of 10)

Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

By Corey Hoffstein

On October 21, 2019

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

Build Your Own Long/Short

By Corey Hoffstein

On September 9, 2019

Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.

Sector Momentum

By Corey Hoffstein

On September 3, 2019

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.

Value and the Credit Spread

By Corey Hoffstein

On July 1, 2019

We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.

Time-Series Signals and Multi-Sector Bonds

By Corey Hoffstein

On June 17, 2019

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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