CTAs - Which Trend is Your Friend?

6 Pages Posted: 23 Mar 2014

See all articles by Fabian Dori

Fabian Dori

Aquila Capital Group

Manuel Krieger


Urs Schubiger


Daniel Torgler

Asga Pension Fund

Date Written: December 20, 2013


The occurrence of trends within financial markets is inconsistent with the assumptions of classical financial theory. Nevertheless, it can be empirically validated that market prices can be subject to trends and profitably exploited. But − which trends should you measure? Which trend is your friend? This paper shows that this question cannot be answered solely on the basis of the data. Rather, various aspects have to be considered in order to decide which method is regarded as appropriate in which environment. The length of the measured trend, the way the signal is compared and, ultimately, the conversion of the signal into a position are key factors that determine the character of the trend sequence.These factors can also be used to classify different CTA strategies and assess their risk/return profile more accurately.

Keywords: CTA, Momentum, Trend-following, Managed Futures, Hedge Funds

JEL Classification: G1

Suggested Citation

Dori, Fabian and Krieger, Manuel and Schubiger, Urs and Torgler, Daniel, CTAs - Which Trend is Your Friend? (December 20, 2013). Available at SSRN: https://ssrn.com/abstract=2412575 or http://dx.doi.org/10.2139/ssrn.2412575

Fabian Dori (Contact Author)

Aquila Capital Group ( email )

Valentinskamp 70
Hamburg, 20355

Manuel Krieger

Independent ( email )

Urs Schubiger

UBS AG ( email )

Bahnhofstrasse 45
Zurich, 8001

Daniel Torgler

Asga Pension Fund ( email )

Rosenbergstr. 16
St.Gallen, St.Gallen 9001

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