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• W3125168478 abstract "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 these strategies. Time series momentum strategies produce large correlations and high Rsquares with Managed Futures indices and individual manager returns, including the largest and most successful managers. While the largest Managed Futures managers have realized significant alphas to traditional long-only benchmarks, controlling for time series momentum strategies drives their alphas to zero. We consider a number of implementation issues relevant to time series momentum strategies, including risk management, risk allocation across asset classes and trend horizons, portfolio rebalancing frequency, transaction costs, and fees. * Brian Hurst and Yao Hua Ooi are at AQR Capital Management, LLC. Lasse Heje Pedersen is at New York University, Copenhagen Business School, AQR Capital Management, CEPR, and NBER, web: http://people.stern.nyu.edu/lpederse/ . We are grateful to Cliff Asness, John Liew and Antti Ilmanen for helpful comments and to Ari Levine and Vineet Patil for excellent research assistance." @default.
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• W3125168478 date "2013-01-01" @default.
• W3125168478 modified "2023-09-25" @default.
• W3125168478 title "Demystifying Managed Futures" @default.
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