cross-sectional momemtum, 怎么理解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.

A is incorrect because the opportunistic strategy under consideration is more likely to be described as a managed futures strategy—specifically, a cross-sectional momentum approach—rather than a global macro strategy. Global macro strategies are typically top down and generally focus on correctly discerning and capitalizing on trends in global financial markets, which does not describe the strategy under consideration. In contrast, managed futures strategies that use a cross-sectional momentum approach are implemented with a cross-section of assets (generally within an asset class, which in this case is highly rated corporate bonds) by going long those that are rising in price the most and by shorting those that are falling the most.

B is incorrect because the strategy under consideration is a managed futures strategy—specifically, a cross-sectional (not time-series) momentum approach. Time-series trading strategies are driven by the past performance of the individual assets. The manager will take long positions for assets that are rising in value and short positions for assets that are falling in value. Positions are taken on an absolute basis, and individual positions are determined independent of the performance of the other assets in the strategy. This approach is in contrast to cross-sectional strategies, where the position taken in an asset depends on that asset’s performance relative to the other assets. With time-series momentum strategies, the manager can be net long or net short depending on the current price trend of an asset.