Tag: value (Page 1 of 6)
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 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.
Value and the Credit Spread
By Corey Hoffstein
On July 1, 2019