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- W2904294066 abstract "We propose a new asset-based factor that relies on aggregating momentum signals over different horizons. Aggregating signals this way captures assets’ trend signal strength, thereby addressing a limitation in existing time series momentum strategies. Our factor mimics a trend-following manager that increases exposure to markets where trends develop and decreases exposure to markets where trends fade. Taking into account a number of practical implementation issues, we found that our proposed factor performs better at replicating the stylized facts of Commodity Trading Advisors’ returns than previous methods and allows a more meaningful assessment of fund alpha." @default.
- W2904294066 created "2018-12-22" @default.
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- W2904294066 date "2018-12-19" @default.
- W2904294066 modified "2023-09-26" @default.
- W2904294066 title "Trends’ Signal Strength and the Performance of CTAs" @default.
- W2904294066 hasPublicationYear "2018" @default.
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