{"title":"收获多种资产的收益、价值和动力:更聪明地工作，而不是更努力","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":"{\"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}","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}
Harvesting Multi-Asset Carry, Value, and Momentum: Work Smarter, Not Harder
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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