Exploration of CTA Momentum Strategies Using ETFs

Abstract

CTA funds, recognized for their effectiveness as hedges during crises, are traditionally diversified and involve going long and short on various asset classes. This paper aims to explore trend-following strategies by creating a CTA proxy using ETFs to represent CTA strategies. This allows for a comprehensive assessment of individual substrategies across diverse assets. We identify that the optimal approach involves following trends in all asset classes, except for stocks. Here, adopting a long-only position yields the most favorable results.

Keywords: CTA funds, managed futures, ETFs, momentum, trend following, CTA strategies, portfolio management, crisis hedge