Trends Everywhere? The Case of Hedge Fund Styles

Journal of Asset Management (2019) 20: 442.

Posted: 22 Nov 2019

See all articles by Charles Chevalier

Charles Chevalier

Université Paris Dauphine - Department of Finance; KeyQuant

Serge Darolles

Université Paris Dauphine - DRM-CEREG

Multiple version iconThere are 2 versions of this paper

Date Written: October 1, 2019

Abstract

This paper investigates empirically whether time-series momentum returns can explain the per- formance of hedge funds in the cross-section. Relying on the trend following literature, a volatility- adjusted time-series momentum signal is applied on a daily basis across a large set of futures, covering the major asset classes. We build a hierarchical set of trend factors: the full version TREND can be split in summable factors across two dimensions: the horizon of the signals and the traded asset class. We show that Managed Futures, Global Macro and Fund of Hedge Funds strategies can be partly explained by a TREND exposure. Moreover, a TREND exposure is a significant determinant of hedge funds returns at the fund level, for Managed Futures and Global Macro but also, and more surprisingly, for the other styles.

Keywords: Managed Futures; time series momentum; trend-following; commodity trading advisor (CTA); hedge funds; trading strategies

JEL Classification: G11, G12, G15, F37

Suggested Citation

Chevalier, Charles and Darolles, Serge, Trends Everywhere? The Case of Hedge Fund Styles (October 1, 2019). Journal of Asset Management (2019) 20: 442.. Available at SSRN: https://ssrn.com/abstract=3485528

Charles Chevalier (Contact Author)

Université Paris Dauphine - Department of Finance ( email )

Place du Maréchal de Lattre de Tassigny
Paris Cedex 16, 75775
France

KeyQuant ( email )

20 rue Quentin-Bauchart
Paris, 75008
France

Serge Darolles

Université Paris Dauphine - DRM-CEREG ( email )

place du Maréchal de Lattre de Tassigny
cedex 16
Paris, 75775
France

Register to save articles to
your library

Register

Paper statistics

Abstract Views
150
PlumX Metrics