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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| 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 |