Publication Type
Working Paper
Publication Date
1-2013
Abstract
In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing. First, we construct a very comprehensive set of time-series momentum benchmark portfolios. Second, we provide evidence that CTAs follow time-series momentum strategies, by showing that such benchmark strategies have high explanatory power in the time-series of CTA index returns. Third, we do not find evidence of statistically significant capacity constraints based on two different methodologies and several robustness tests. Our results have important implications for hedge fund studies and investors.
Keywords
Hedge funds, commodity trading advisors, momentum stategies
Discipline
Finance and Financial Management
First Page
1
Last Page
60
Citation
BALTAS, Akindynos-Nikolaos and KOSOWSKI, Robert.
(2013). Research Collection BNP Paribas Hedge Fund Centre.
, 1.
Available at: https://ink.library.smu.edu.sg/bnp_research/17
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
The research was partially funded by BNPP Hedge Fund Centre at Singapore Management Centre. Copy made available with permission of the authors.