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Trends everywhere? The case of hedge fund styles
1 : University Paris-Dauphine
Université Paris-Dauphine, PSL Research University, Université Paris-Dauphine, PSL Research University
This paper demonstrates that returns of Managed Futures, Global Macro, Multistrategies and
Fund of Hedge Funds strategies can be partly explained by a Trend exposure, whereas other hedge
fund styles do not exhibit signicant results. Following the practice of trend-followers, 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 nd that a Trend exposure is a signicant determinant of
hedge funds returns at the aggregate level, as well as at the fund level. Another contribution of
this study is related to the understanding of the CTA space, composed of pure Trend funds as well
as funds that do not exhibit any Trend exposure.
