Develops a continuous scoring system combining rate relief, drawdowns, VIX relief, and crowding for growth-defensive allocation and reports 19.24% CAGR with Sharpe 1.01 in 2017-2026 backtests that beat several but not all static benchmarks.
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Continuous Timing Signals for Growth-Defensive Style Allocation: Factor Attribution, Risk Matching, and Out-of-Sample Evidence
Develops a continuous scoring system combining rate relief, drawdowns, VIX relief, and crowding for growth-defensive allocation and reports 19.24% CAGR with Sharpe 1.01 in 2017-2026 backtests that beat several but not all static benchmarks.