{"title":"Carry和时间序列动量的实际应用:天作之合","authors":"Marat Molyboga, Jun Qian, Chaohua He","doi":"10.3905/JAI.23.S2.042","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Practical Applications of Carry and Time-Series Momentum: A Match Made in Heaven\",\"authors\":\"Marat Molyboga, Jun Qian, Chaohua He\",\"doi\":\"10.3905/JAI.23.S2.042\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":45142,\"journal\":{\"name\":\"Journal of Alternative Investments\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2021-04-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Alternative Investments\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/JAI.23.S2.042\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/JAI.23.S2.042","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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