Correction

This article refers to:

Trends’ Signal Strength and the Performance of CTAs

When the above article was originally published online and in print, Equation 4 contained an error. The term “sgn” incorrectly appeared before the first set of square brackets. The correct Equation 4 follows:

$$r_{T+1}^{ATSMOM}=\frac{1}{L}{\displaystyle \sum _{l=1}^L\left[\frac{{\displaystyle {\sum }_{t=10}^{260}\mathrm{sgn}\left(r_{T-t,T-1}^l\right)}}{251}\right]\left[\frac{0.4/\sqrt{261}}{{\sigma }_{T-60,T-1}^l}\right]r_{T+1}^l.}$$