Guobužaitė, Renata; Teresienė, Deimantė - In: Economies 9 (2021) 2, pp. 1-16
Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but...