Dissecting Investment Strategies in the Cross Section and Time Series

Baz, Jamil; Granger, Nicolas; Harvey, Campbell R.; Le Roux, Nicolas; Rattray, Sandy

doi:10.2139/ssrn.2695101

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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

See all articles by Jamil Baz

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Sandy Rattray

Man Group plc

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: Suggested Citation

Baz, Jamil and Granger, Nicolas 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