Abstract

http://ssrn.com/abstract=1968996
 
 

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Momentum Strategies in Futures Markets and Trend-following Funds


Akindynos-Nikolaos (Nick) Baltas


UBS Investment Bank; Queen Mary University of London; Imperial College Business School

Robert Kosowski


Imperial College Business School; University of Oxford, Oxford-Man Institute of Quantitative Finance

January 5, 2013

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Abstract:     
In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing. First, we construct a very comprehensive set of time-series momentum benchmark portfolios. Second, we provide evidence that CTAs follow time-series momentum strategies, by showing that such benchmark strategies have high explanatory power in the time-series of CTA index returns. Third, we do not find evidence of statistically significant capacity constraints based on two different methodologies and several robustness tests. Our results have important implications for hedge fund studies and investors.

Number of Pages in PDF File: 60

Keywords: Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints

JEL Classification: E3, G14

working papers series


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Date posted: December 6, 2011 ; Last revised: January 6, 2013

Suggested Citation

Baltas, Akindynos-Nikolaos (Nick) and Kosowski, Robert, Momentum Strategies in Futures Markets and Trend-following Funds (January 5, 2013). Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper. Available at SSRN: http://ssrn.com/abstract=1968996 or http://dx.doi.org/10.2139/ssrn.1968996

Contact Information

Akindynos-Nikolaos (Nick) Baltas (Contact Author)
UBS Investment Bank ( email )
1 Finsbury Avenue
London, EC2M 2PP
United Kingdom
+442075683072 (Phone)
Queen Mary University of London ( email )
Lincoln's Inn Fields
Mile End Rd.
London, E1 4NS
United Kingdom
HOME PAGE: http://econ.qmul.ac.uk/staff/nickbaltas.html
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London, SW7 2AZ
United Kingdom
HOME PAGE: http://www3.imperial.ac.uk/people/a.baltas07
Robert Kosowski
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
+442075943294 (Phone)
HOME PAGE: http://www3.imperial.ac.uk/people/r.kosowski
University of Oxford, Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
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