Tag: value (Page 1 of 7)
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
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.
The Limit of Factor Timing
By Nathan Faber
On November 11, 2019