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Momentum Strategies in Futures Markets and Trend-Following Funds
Akindynos-Nikolaos Balta, Robert Kosowski: 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.
Author(s):
Imperial College Business School
EDHEC Business School
| Type: | Working paper |
|---|---|
| Date: | le 07/01/2013 |
| Extra information : | For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ] |
| Research Cluster : | Finance |
See Also
![[EDHEC Experience] Light on the first urban Lab of Latin America](https://www.edhec.edu/sites/www.edhec-portail.pprod.net/files/styles/actualite_hp_col3/public/edhec-wide-open-mexico_0_0_2_0.png "[EDHEC Experience] Light on the first urban Lab of Latin America")
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
