The Long and Short of Trend Followers

Posted: 9 Sep 2016 Last revised: 9 Nov 2018

See all articles by Joakim Agerback

Joakim Agerback

Romanesco Capital Management AB

Tor Gudmundsen-Sinclair

Romanesco Capital Management AB

Jarkko Peltomäki

Stockholm University - Stockholm Business School

Date Written: October 27, 2017

Abstract

We propose the use of short and long portfolios of trend-following strategies to analyse their risk and return characteristics. We present evidence for the asymmetric profitability of trend-following strategies that returns to their long side are more profitable. We find also that the exposures of CTAs to the long and short sides of trend-following strategies have become more biased towards long positions. The main lesson of our study is that the long and short sides should be differentiated in the analysis of dynamic investment strategies.

Keywords: Trend followers; trading position; risk exposure

JEL Classification: G11, G14, G23

Suggested Citation

Agerback, Joakim and Gudmundsen-Sinclair, Tor and Peltomäki, Jarkko, The Long and Short of Trend Followers (October 27, 2017). Available at SSRN: https://ssrn.com/abstract=2836389 or http://dx.doi.org/10.2139/ssrn.2836389

Joakim Agerback

Romanesco Capital Management AB ( email )

Sigtunagatan 10
Stockholm, SE-113 22
Sweden

Tor Gudmundsen-Sinclair

Romanesco Capital Management AB ( email )

Sigtunagatan 10
Stockholm, SE-113 22
Sweden

Jarkko Peltomäki (Contact Author)

Stockholm University - Stockholm Business School ( email )

Stockholm
Sweden

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,377
PlumX Metrics