CTA funds are considered trend-following. Generally, trend-following strategies are formulated by going long on all assets with positive past returns and taking ...

16 нояб. 2020 г. · The CTA strategy typically relies on predictions computed using the history of an instrument's own price and is therefore better described as time-series ...

An analysis shows that macro momentum has been a consistent component of CTAs since 2004, but its influence. (loading) on CTA performance remains lower than it ...

16 февр. 2024 г. · This paper aims to explore trend-following strategies by creating a CTA proxy using ETFs to represent CTA strategies. This allows for a ...

18 янв. 2024 г. · Most of the CTA strategies are trend-following, taking long positions in markets experiencing upward trends and short positions in markets ...

CTAs often trade multiple asset classes with conflicting momentum. An obvious example is equity and bond futures. During prolonged periods of market stress, ...

NilssonHedge provides a Systematic Momentum CTA/Managed Futures index, based on the average returns of the underlying managers.

The thesis aims to recreate a CTA using a continuous momentum signal and with the signal, invest accordingly. Some different variables were tested, most ...

We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind ...

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