The Holy Grail of Cross-Asset Momentum Strategies? Deep Analysis of Stock, Bond, and Commodity Rotation Quantitative Practice
In turbulent markets, how can capital flow intelligently among the three core asset classes—stocks, bonds, and commodities? This article will deeply explore the quantitative core of "cross-asset momentum strategy." I will share how, over more than 15 years of Wall Street practice, I utilized statistical models to capture momentum transitions among assets, combined with specific historical cases (such as the 2008 financial crisis and the 2020 pandemic shock), to analyze the strategy's performance and pitfalls. The article will include a complete framework from theoretical foundations (such as time series momentum and volatility adjustment) to practical Python code, and emphasize warnings about risk management and strategy decay, providing you with a toolkit that combines both depth and practicality for asset allocation thinking.
