I don't have a fully developed framework for it. I just view trend, cross sectional momentum, carry etc as smart beta factors. If you are long SPY (buy & hold) you are harvesting the equity risk premium (simple beta). With stuff like Trend you want to enhance this simple approach (=smart beta).
Maybe it's not pure risk premia harvesting but an alternative shape of it.
It's just my line of thinking, I'm curious what you think about it.
I would classify Trend etc as risk premia and not edge (inefficiency)
That's interesting! What risk does it represent in your framing? I haven't really thought about it in that way before.
I don't have a fully developed framework for it. I just view trend, cross sectional momentum, carry etc as smart beta factors. If you are long SPY (buy & hold) you are harvesting the equity risk premium (simple beta). With stuff like Trend you want to enhance this simple approach (=smart beta).
Maybe it's not pure risk premia harvesting but an alternative shape of it.
It's just my line of thinking, I'm curious what you think about it.