When Carry, Momentum and Value Work
December 8, 2015 - Commodity Futures, Currency Trading, Momentum Investing, Value Premium
How do the behaviors of time-series (absolute) and cross-sectional (relative) carry, momentum and value strategies differ? In the November 2015 version of their paper entitled “Dissecting Investment Strategies in the Cross Section and Time Series”, Jamil Baz, Nicolas Granger, Campbell Harvey, Nicolas Le Roux and Sandy Rattray explore time-series and cross-sectional carry, momentum and value strategies as applied to multiple… Keep Reading