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Cross-Sectional Approach in a Trend-Follower Strategy: Momentum Within and Across Asset Classes

Master's Thesis
Corporate Partner: 
Fisch Asset Management
Date Published: 
March 20, 2013

In this thesis, an analysis of the serial and cross-sectional dependencies of a broad variety of assets (commodities, FX, fixed income, equities) is presented. This analysis leads to a (non-linear) combination of assets that has the potential to predict trends. The signal extracted from this portfolio of assets (using a trend-following algorithm) is merged with standard signals. We demonstrate the predictability power of this new (enhanced) signal.