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

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