RT Journal Article
SR Electronic
T1 Harvesting Multi-Asset Carry, Value, and Momentum: Work Smarter, Not Harder
JF The Journal of Financial Data Science
FD Institutional Investor Journals
SP jfds.2022.1.087
DO 10.3905/jfds.2022.1.087
A1 Brian Jacobsen
A1 Matthias Scheiber
YR 2022
UL https://pm-research.com/content/early/2022/03/16/jfds.2022.1.087.abstract
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.