PT  - JOURNAL ARTICLE
AU  - Brian Jacobsen
AU  - Matthias Scheiber
TI  - Harvesting Multi-Asset Carry, Value, and Momentum: Work Smarter, Not Harder
AID  - 10.3905/jfds.2022.1.087
DP  - 2022 Mar 17
TA  - The Journal of Financial Data Science
PG  - jfds.2022.1.087
4099  - https://pm-research.com/content/early/2022/03/16/jfds.2022.1.087.short
4100  - https://pm-research.com/content/early/2022/03/16/jfds.2022.1.087.full
AB  - Carry, value, and momentum are the trinity of systematic investing. As signals, it is important to know what they signify and how to interpret the signals. What is the cost of delay? How does their effectiveness change as a function of the holding period? The authors illustrate how these signals can differ in terms of their informational content and persistence. They also show how classification trees can be used to combine these signals to get the most meaning out of them.