Trends’ signal strength and the performance of CTAs
- Author
- Gert Elaut (UGent) and Péter Erdős
- Organization
- Abstract
- We propose a new asset-based factor that relies on aggregating momentum signals over different horizons. Aggregating signals this way captures assets’ trend signal strength, thereby addressing a limitation in existing time series momentum strategies. Our factor mimics a trend-following manager that increases exposure to markets where trends develop and decreases exposure to markets where trends fade. Taking into account a number of practical implementation issues, we found that our proposed factor performs better at replicating the stylized facts of Commodity Trading Advisors’ returns than previous methods and allows a more meaningful assessment of fund alpha.
- Keywords
- Economics and Econometrics, Finance, CTAs, managed futures, commodity trading advisors
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8728620
- MLA
- Elaut, Gert, and Péter Erdős. “Trends’ Signal Strength and the Performance of CTAs.” FINANCIAL ANALYSTS JOURNAL, vol. 75, no. 1, 2019, pp. 64–83, doi:10.1080/0015198x.2018.1547052.
- APA
- Elaut, G., & Erdős, P. (2019). Trends’ signal strength and the performance of CTAs. FINANCIAL ANALYSTS JOURNAL, 75(1), 64–83. https://doi.org/10.1080/0015198x.2018.1547052
- Chicago author-date
- Elaut, Gert, and Péter Erdős. 2019. “Trends’ Signal Strength and the Performance of CTAs.” FINANCIAL ANALYSTS JOURNAL 75 (1): 64–83. https://doi.org/10.1080/0015198x.2018.1547052.
- Chicago author-date (all authors)
- Elaut, Gert, and Péter Erdős. 2019. “Trends’ Signal Strength and the Performance of CTAs.” FINANCIAL ANALYSTS JOURNAL 75 (1): 64–83. doi:10.1080/0015198x.2018.1547052.
- Vancouver
- 1.Elaut G, Erdős P. Trends’ signal strength and the performance of CTAs. FINANCIAL ANALYSTS JOURNAL. 2019;75(1):64–83.
- IEEE
- [1]G. Elaut and P. Erdős, “Trends’ signal strength and the performance of CTAs,” FINANCIAL ANALYSTS JOURNAL, vol. 75, no. 1, pp. 64–83, 2019.
@article{8728620,
abstract = {{We propose a new asset-based factor that relies on aggregating momentum signals over different horizons. Aggregating signals this way captures assets’ trend signal strength, thereby addressing a limitation in existing time series momentum strategies. Our factor mimics a trend-following manager that increases exposure to markets where trends develop and
decreases exposure to markets where trends fade. Taking into account a number of practical implementation issues, we found that our proposed factor performs better at replicating the stylized facts of Commodity Trading Advisors’ returns than previous methods and allows a more meaningful assessment of fund alpha.}},
author = {{Elaut, Gert and Erdős, Péter}},
issn = {{0015-198X}},
journal = {{FINANCIAL ANALYSTS JOURNAL}},
keywords = {{Economics and Econometrics,Finance,CTAs,managed futures,commodity trading advisors}},
language = {{eng}},
number = {{1}},
pages = {{64--83}},
title = {{Trends’ signal strength and the performance of CTAs}},
url = {{http://doi.org/10.1080/0015198x.2018.1547052}},
volume = {{75}},
year = {{2019}},
}
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