Man AHL created the AHL Explains video series in an effort to demystify quantitative investing through an engaging and user-friendly medium. The videos seek to bring essential quantitative investing concepts to life through illustrations and graphics, and explain the key concepts in futures trend following in a simple and accessible way.
Cross-sectional momentum strategies are distinct from time series momentum strategies. While the latter uses price movements over various “time series” to determine the direction of a security’s trend, the former divides up an entire market, such as the FTSE 100, into “cross-sections” and invests accordingly. The example used by Man AHL in this video involves the one-year returns of the individual stocks that comprise the FTSE 100. A cross-sectional momentum strategy might invest in the top-performing one-third of the FTSE, while short-selling the bottom one-third of issues. Cross-sectional momentum traders prefer longer-term time scales since stocks tend to exhibit mean reversion over shorter time periods.
The staff at DailyAlts works hard to curate and present readers with the most interesting articles from leading publications, investment consultants, fund managers, bloggers, academia, and other media outlets around the world.