你潮流的朋友

W. Lee
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引用次数: 0

摘要

如果没有投资过程的完全透明性,贝塔和阿尔法的标准绩效归因并不简单。本文开发了一个分析框架,以阐明一个简单的趋势跟踪策略的事前风格化特征。我们的分析结果表明,趋势跟踪策略的回报嵌入了不同程度的基础资产贝塔,这取决于资产的回报率与波动率,以及该策略旨在收获的趋势行为。我们将结果与CTA指数的基于事后实现回报的风格分析进行了比较。我们讨论了我们的结果在费用和趋势跟踪策略分配方面的实际影响。
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The Friend of Your Trend
Standard performance attribution to beta and alpha is not simple without full transparency into the investment process. This article develops an analytical framework to shed light on ex-ante stylized characteristics of a simple trend following strategy. Our analytical results show that rewards from the trend following strategy embed different degrees of underlying asset beta, which are determined by the asset’s return-to-volatility ratio, in addition to the trending behaviors that the strategy is built to harvest. We compare the results to ex-post realized returns-based style analysis of a CTA index. We discuss practical implications of our results with respect to fees and allocations to trend following strategies.
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