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- Title
Harvesting Multi-Asset Carry, Value, and Momentum: Work Smarter, Not Harder.
- Authors
Jacobsen, Brian; Scheiber, Matthias
- Abstract
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.
- Publication
Journal of Financial Data Science, 2022, Vol 4, Issue 2, p50
- ISSN
2640-3943
- Publication type
Academic Journal
- DOI
10.3905/jfds.2022.1.087