趋势追随者的长短

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-06-28 DOI:10.3905/jai.2019.1.076
Joakim Agerback, Tor Gudmundsen-Sinclair, J. Peltomäki
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引用次数: 0

摘要

作者建议使用多头和空头组合来分析趋势跟随策略的风险和收益特征。他们为趋势跟随策略的非对称盈利能力提供了证据,表明多头的回报更有利可图。他们还发现,cta对趋势跟随策略的多头和空头的敞口变得更加偏向多头头寸。该研究的主要教训是,在分析动态投资策略时应区分多头和空头。主题:投资组合构建、商品、统计方法、绩效评估
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The Long and Short of Trend Followers
The authors propose the use of short and long portfolios to analyze the risk and return characteristics of trend-following strategies. They present evidence for the asymmetric profitability of trend-following strategies, showing that returns to the long side are more profitable. They also find that the exposure of CTAs to the long and short sides of trend-following strategies has become more biased toward long positions. The main lesson of the study is that the long and short sides should be differentiated in an analysis of dynamic investment strategies. TOPICS: Portfolio construction, commodities, statistical methods, performance measurement
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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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