Trends everywhere? The case of hedge fund styles

Charles Chevalier () and Serge Darolles
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Journal of Asset Management, 2019, vol. 20, issue 6, No 4, 442-468

Abstract: Abstract 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.

Keywords: Managed Futures; Time-series momentum; Trend following; Commodity Trading Advisor (CTA); Hedge funds; Trading strategies (search for similar items in EconPapers)
JEL-codes: F37 G11 G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/s41260-019-00141-5

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