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Learn why traders use futures, how to trade futures, and what steps you should take to get started.
- 30 Jul 2013
- By Imperial College
The aim of this paper is to examine the effect of risk-weighting and of the choice of trading signal on the performance of time series momentum strategies using a broad dataset of 75 futures contracts over the period 1974 - 2013.Time-series momentum strategies have received increased attention after they provided again, as in previous business cycle downturns, impressive diversification benefits during the recent financial crisis in 2008.
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More in Factors / Risk Premia
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- Demystifying Time-Series Momentum Strategies - May 08, 2017
- Big Data and Investment Management - December 31, 2015
- Momentum Strategies in Futures Markets - January 05, 2013
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.
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