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The Kavout factor library – risk-adjusted momentum

We began this blog series by talking about price and breadth momentum. In this article, we continue the discussion with risk-adjusted momentum. This takes into account the level of risk involved with a given equity. By taking into account volatility, we are able to...

Analysis: The Value Factor by Time Horizon

In the previous two blogs we looked at Value from a high level and from a sector perspective. In this entry, we are looking at Value from a time horizon. Given the pro-cyclical nature of the Value factor, this is an important facet to have. As a refresher, for this...

Analysis: The Value Factor by Sector

In the last blog we looked at the Value factor without any particular perspective. In this entry, we break down the data and see how different Value factors perform across different sectors. To remind you, for this demonstration portfolio we are comparing metrics...

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