Time Series and Cross Sectional Momentum Profitability

  • 28 Jul 2015
  • By Man AHL

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

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