{"ID":2893485,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2507.15876","arxiv_id":"2507.15876","title":"Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach","abstract":"Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in fast-moving markets. Despite a large body of work on trend following, the relative merits and interactions of short-versus long-term trend systems remain controversial. This paper adds to the debate by (i) dynamically decomposing CTA returns into short-term trend, long-term trend and market beta factors using a Bayesian graphical model, and (ii) showing how the blend of horizons shapes the strategy's risk-adjusted performance.","short_abstract":"Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in fast-moving markets. Despite a large body of work on trend following, the relative mer...","url_abs":"https://arxiv.org/abs/2507.15876","url_pdf":"https://arxiv.org/pdf/2507.15876v1","authors":"[\"Eric Benhamou\",\"Jean-Jacques Ohana\",\"Alban Etienne\",\"Béatrice Guez\",\"Ethan Setrouk\",\"Thomas Jacquot\"]","published":"2025-07-17T12:09:29Z","proceeding":"cs.AI","tasks":"[\"cs.AI\",\"q-fin.PR\",\"q-fin.ST\",\"q-fin.TR\"]","methods":"[]","has_code":false}