Beyond Trends: The Reconcilability of Short-Term CTA Strategies with Risk Shocks
2016 (English)In: The Journal of Alternative Investments, ISSN 1520-3255, E-ISSN 2168-8435, Vol. 18, no 3, 74-83 p.Article in journal (Refereed) Published
In this paper, we argue that the value addition from investing in short-term futures trading strategies is their reconcilability with unanticipated risk shocks. We perform empirical analysis on short-term and long-term CTA, i.e., trend-following, strategies and find that the exclusive characteristic of short-term CTAs is their significant and consistent long position in unanticipated risk shocks. Unlike long-term CTA strategies, their exposure to these risk shocks is prevalent in different states of the risk cycle. Our findings imply that short-term futures trading strategies can offer considerable diversification opportunities for investors during equity market crisis situations.
Place, publisher, year, edition, pages
2016. Vol. 18, no 3, 74-83 p.
Economics and Business
IdentifiersURN: urn:nbn:se:umu:diva-132908DOI: 10.3905/jai.2016.18.3.074OAI: oai:DiVA.org:umu-132908DiVA: diva2:1084364