31 Pages Posted: 24 Nov 2015 Last revised: 7 Dec 2015
Date Written: December 4, 2015
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: 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