Change search
ReferencesLink to record
Permanent link

Direct link
Beyond Trends: The Reconcilability of Short-Term CTA Strategies with Risk Shocks
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
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
Abstract [en]

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.
National Category
Economics and Business
URN: urn:nbn:se:su:diva-121016DOI: 10.3905/jai.2016.18.3.074OAI: diva2:855628
Available from: 2015-09-22 Created: 2015-09-22 Last updated: 2016-01-07Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Peltomäki, Jarkko
By organisation
Stockholm Business School
In the same journal
The Journal of Alternative Investments
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 225 hits
ReferencesLink to record
Permanent link

Direct link