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Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
The Importance of Trend in Multi Asset Space
Frank: I'm a multi asset investor mostly. And so, value, momentum, low volatility, quality. Those are equity factors. When we take that same approach or the same sort of factor based toolkit to multi asset space. And we look for explanatory variables. Carry and trend are really the cat's me now. Now we've looked at the nuances. What's trend? What's momentum for our purposes today? We do it a little bit differently. But if you look at the cross section and the time series explanatory power of factors inmulti-asset space, trend supersedes momentum. Frank: They're super factors because they don't just explain the cross section of a
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