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Dissecting Investment Strategies in the Cross Section and Time Series

31 Pages Posted: 24 Nov 2015 Last revised: 7 Dec 2015

Jamil Baz

Man Group

Nicolas M. Granger

Man AHL

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative

Nicolas Le Roux

Pimco Europe

Sandy Rattray

Man AHL

Date Written: December 4, 2015

Abstract

We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions that favor the application of a particular setting.

Keywords: Value, carry, momentum, time-series, cross-section, Sharpe ratio, trading strategies, skew, commodities, FX, foreign exchange, equity, fixed income, interest rates, multiple testing

JEL Classification: G11, G12, G13, G15

Suggested Citation

Baz, Jamil and Granger, Nicolas M. and Harvey, Campbell R. and Le Roux, Nicolas and Rattray, Sandy, Dissecting Investment Strategies in the Cross Section and Time Series (December 4, 2015). Available at SSRN: https://ssrn.com/abstract=2695101 or http://dx.doi.org/10.2139/ssrn.2695101

Jamil Baz

Man Group ( email )

Sugar Quay
Lower Thames Street
London, EC3R 6DU
United Kingdom

Nicolas M. Granger

Man AHL ( email )

Riverbank House
2 Swan Lane
London, EC4R 3AD
United Kingdom

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Duke Innovation & Entrepreneurship Initiative ( email )

215 Morris St., Suite 300
Durham, NC 27701
United States

Nicolas Le Roux

Pimco Europe ( email )

11 baker street
Marylebone
London, W1u 3AH
United Kingdom

Sandy Rattray

Man AHL ( email )

Riverbank House
2 Swan Lane
London, EC4R 3AD
United Kingdom

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