RT Journal Article
SR Electronic
T1 The Long and Short of Trend Followers
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 65
OP 80
DO 10.3905/jai.2019.1.076
VO 22
IS 2
A1 Joakim Agerback
A1 Tor Gudmundsen-Sinclair
A1 Jarkko Peltomäki
YR 2019
UL https://pm-research.com/content/22/2/65.abstract
AB 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: Futures and forward contracts, commodities, statistical methods, performance measurement