Position sizing methods for a trend following CTA
This study examines whether a trend following managed futures fund can improve its performance by changing its position sizing method. Trades for a simple trend following strategy was simulated on 47 futures contracts over the period 1990-2012, using varying methods for determining position size. El...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Industriell ekonomi och organisation (Inst.)
2014
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147387 |