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Value, Momentum & Carry Across Asset Classes

Farming is a Profession of Hope (Brian Brett). Investing, too.

Nicolas Rabener
10 min read
28 Jan 2019

SUMMARY

  • Cross-asset multi-factor exposure might be an attractive diversifier for an equity portfolio
  • Factors share trends across asset classes, indicating common drivers
  • However, relationships are time-varying, increasing complexity and risks

INTRODUCTION

There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, which is a scientific agency of the U.S. government. An earthquake of that magnitude is likely to cause major damage in populated areas, especially if accompanied by a tsunami.

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