{"title":"Harvesting Multi-Asset Carry, Value, and Momentum: Work Smarter, Not Harder","authors":"Brian Jacobsen, Matthias Scheiber","doi":"10.3905/jfds.2022.1.087","DOIUrl":null,"url":null,"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.","PeriodicalId":199045,"journal":{"name":"The Journal of Financial Data Science","volume":"46 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Journal of Financial Data Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfds.2022.1.087","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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.
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