This link The Momentum Factor Relevant For Bonds? is a variation on and re-link of some stuff in other posts and in particular some stuff that Cullen Roche queued up recently (see also some work at NewFound for some solid quant based thinking on this topic). This kind of thing has been my bread and butter strategy-domain since around 2010, if not earlier. I hate to see the attention to a backwater strategy but then again I also like to see the validation. This has been (will it continue to be? Who knows?) something that works well as an incremental strategy to add some efficiency (statistics not provided here). Good to see some of this coming out now although, being an interest rate sensitive kind of thing, we'll see how it goes from here...
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