time series与cross-sectional

问题如下：

Mukilteo examines an opportunistic strategy implemented by one of the hedge funds under consideration. The hedge fund manager selects 12 AAA rated corporate bonds with actively traded futures contracts and approximately equal durations. For each corporate bond, the manager calculates the 30-day change in the yield spread over a constant risk-free rate. He then ranks the bonds according to this spread change. For the bonds that show the greatest spread narrowing (widening), the hedge fund will take long (short) positions in their futures contracts. The net holding for this strategy is market neutral.The opportunistic strategy that Mukilteo considers is most likely to be described as a:

选项：

A.global macro strategy.

B.time-series momentum strategy.

C.cross-sectional momentum strategy.

解释：

C is correct. The strategy under consideration is a managed futures strategy—specifically, a cross-sectional momentum approach. Such an approach is generally implemented with securities in the same asset class, which is corporate bonds in this case. The strategy is to take long positions in contracts for bonds that have risen the most in value relative to the others (the bonds with the narrowing spreads) and short positions in contracts for bonds that have fallen the most in value relative to the others (the bonds with the widening spreads). Cross-sectional momentum strategies generally result in holding a net zero or market-neutral position. In contrast, positions for assets in time-series momentum strategies are determined in isolation, independent of the performance of the other assets in the strategy and can be net long or net short depending on the current price trend of an asset.

题目中说他选择了12个AAA级别的债券，计算了它们30天的yield spread，并根据这个进行排序，long 那些未来spread会缩小的，short spread变大的，并且维持着一个市场中性的头寸。他的long和short都是根据排序来的，而不是这个债券自身的趋势，所以是cross-sectional momentum strategy