Dissecting Investment Strategies in the Cross Section and Time Series
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