Dissecting Investment Strategies in the Cross Section and Time Series

Man Group

Campbell Harvey

Research

31 Pages

This paper examines how cross sectional and time series investment strategies differ across equities, bonds, commodities, and currencies. The authors argue portfolio construction meaningfully changes factor behavior, with momentum appearing more robust in time series frameworks while value and carry often strengthen in relative value approaches.

Key Takeaways

Momentum Structure Matters: Time series momentum produced Sharpe ratios above 1.0 in several asset classes, outperforming cross sectional implementations during persistent macro trends across futures markets.
Cross Asset Diversification: Combining time series and cross sectional signals improved portfolio efficiency, reducing drawdowns while increasing risk adjusted returns across 55 liquid global futures markets.
Value Behaves Differently: Cross sectional value signals generated stronger information ratios than directional value trades, particularly in equities and currencies where relative mispricing effects persisted longer.
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