Elastic Asset Allocation (2014) is a momentum-based strategy published by Wouter J. Keller that only uses a geometrically weighted average … Continue Reading Quant Investing: The Momentum-based Beta Strategy (I)
Style rotation is a timing strategy based on the state of VIX, deciding whether value stock or Growth stock can … Continue Reading Quant Investing: Style Rotation Based on the VIX Index
Investor sentiment is an important topic that has been researched in these two decades There are diverse top-down or bottom-up … Continue Reading Quant Investing: Application of Investor Sentiment Constructed by Overnight Return
Time-series momentum is a strategy based on absolute momentum which means the trend of an asset is independent of others … Continue Reading Quant Investing: How Volatility-Scaled improve Momentum (I)