Joakim Agerback, Tor Gudmundsen-Sinclair, J. Peltomäki
{"title":"The Long and Short of Trend Followers","authors":"Joakim Agerback, Tor Gudmundsen-Sinclair, J. Peltomäki","doi":"10.3905/jai.2019.1.076","DOIUrl":null,"url":null,"abstract":"The authors propose the use of short and long portfolios to analyze the risk and return characteristics of trend-following strategies. They present evidence for the asymmetric profitability of trend-following strategies, showing that returns to the long side are more profitable. They also find that the exposure of CTAs to the long and short sides of trend-following strategies has become more biased toward long positions. The main lesson of the study is that the long and short sides should be differentiated in an analysis of dynamic investment strategies. TOPICS: Portfolio construction, commodities, statistical methods, performance measurement","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"22 1","pages":"65 - 80"},"PeriodicalIF":0.4000,"publicationDate":"2019-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jai.2019.1.076","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The authors propose the use of short and long portfolios to analyze the risk and return characteristics of trend-following strategies. They present evidence for the asymmetric profitability of trend-following strategies, showing that returns to the long side are more profitable. They also find that the exposure of CTAs to the long and short sides of trend-following strategies has become more biased toward long positions. The main lesson of the study is that the long and short sides should be differentiated in an analysis of dynamic investment strategies. TOPICS: Portfolio construction, commodities, statistical methods, performance measurement
期刊介绍:
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices