Trends everywhere? The case of hedge fund styles
Chevalier, Charles; Darolles, Serge (2019), Trends everywhere? The case of hedge fund styles, Journal of Asset Management, 20, 6, p. 442-468. 10.1057/s41260-019-00141-5
Type
Article accepté pour publication ou publiéDate
2019Journal name
Journal of Asset ManagementVolume
20Number
6Publisher
Palgrave
Pages
442-468
Publication identifier
Metadata
Show full item recordAuthor(s)
Chevalier, CharlesDauphine Recherches en Management [DRM]
Darolles, Serge
Dauphine Recherches en Management [DRM]
Abstract (EN)
This paper investigates empirically whether time-series momentum returns can explain the performance 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.Subjects / Keywords
Managed Future; Time Series Momentum; Trend-Following; Commodity Trading Advisor (CTA); Trading StrategiesRelated items
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