Abstract

https://ssrn.com/abstract=2695101
 


 



Dissecting Investment Strategies in the Cross Section and Time Series


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


Man Group

Sandy Rattray


Man AHL

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.

Number of Pages in PDF File: 31

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


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Date posted: November 24, 2015 ; Last revised: December 7, 2015

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

Contact Information

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
Man Group ( email )
Sugar Quay
Lower Thames Street
London, EC3R 6DU
United Kingdom
Sandy Rattray
Man AHL ( email )
Riverbank House
2 Swan Lane
London, EC4R 3AD
United Kingdom
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