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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
Identifiers
URN: urn:nbn:se:su:diva-121016DOI: 10.3905/jai.2016.18.3.074ISI: 000412632000006OAI: oai:DiVA.org:su-121016DiVA: diva2:855628
Available from: 2015-09-22 Created: 2015-09-22 Last updated: 2017-11-13Bibliographically approved

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Peltomäki, Jarkko
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