Tag: volatility (Page 1 of 5)
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
Volatility can predict drawdowns, but incorporating autocorrelation yields more accurate predictions in equities, low vol, income, and managed futures.
Volatility-based exchanged-traded products can be combined in a systematic way to capture crisis alpha during market crashes.
Quantifying Timing Luck
By Corey Hoffstein
On January 22, 2018