Carry和时间序列动量的实际应用:天作之合

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2021-04-30 DOI:10.3905/JAI.23.S2.042
Marat Molyboga, Jun Qian, Chaohua He
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引用次数: 0

摘要

进位和时间序列动量的实际应用:天作之合,发表在2020年秋季的《另类投资杂志》上,作者Marat Molyboga,Junkai Qian,何超华试图通过将时间序列信号与资产基础的符号(即当地现货价格和期货价格之间的差异)相结合来确定管理者是否可以提高期货市场动量策略的性能。过去的研究表明,经理人可以通过组合多种交易信号来提高主动策略的风险调整回报。由于基差是期货市场套利交易的关键输入,因此根据基差的迹象过滤动量交易将提高策略回报率。作者调查了商品、股票、固定收益和外汇期货市场的这一假设。它们考虑了交易成本,并考察了商业周期早期和后期扩张和衰退的影响。在其他有趣的结果中,事实证明,该策略在经济衰退期间表现特别好。
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Practical Applications of Carry and Time-Series Momentum: A Match Made in Heaven
Practical Applications In Carry and Time-Series Momentum: A Match Made in Heaven, published in the Fall 2020 issue of The Journal of Alternative Investments, authors Marat Molyboga, Junkai Qian, and Chaohua He seek to determine if managers can improve the performance of momentum strategies in the futures markets by combining time-series signals with the sign of the asset’s basis (i.e., the difference between the local spot price and the futures price). Past studies indicate that managers can improve active strategies’ risk-adjusted returns by combining multiple trading signals. Since the basis is a key input for carry trades in the futures markets, it stands to reason that filtering momentum trades on the sign of the basis would improve strategy returns. The authors investigate this hypothesis across commodities, equities, fixed income, and foreign exchange futures markets. They account for transaction costs and examine the impact of early and late business cycle expansions and recessions. Among other interesting results, it turns out that the strategy performs particularly well during recessions.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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