Momentum Strategies in Futures Markets and Trend Following Funds

Momentum Strategies in Futures Markets and Trend Following Funds

In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing. First, we construct a very comprehensive set of time-series momentum b...

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Bibliographic Details
Main Authors: BALTAS, Akindynos-Nikolaos, KOSOWSKI, Robert
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Hedge funds
commodity trading advisors
momentum stategies
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/bnp_research/17
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1018&context=bnp_research
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/bnp_research/17
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1018&context=bnp_research

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