Tag: value (Page 1 of 7)
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
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.
Es-CAPE Velocity: Value-Driven Sector Rotation
By Corey Hoffstein
On August 26, 2019