检验期货交易策略假设

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-06-27 DOI:10.3905/jai.2019.1.075
Mark C. Hutchinson, John R. O'Brien
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引用次数: 3

摘要

有越来越多的文献研究基于期货的交易策略和商品交易顾问(cta)的表现。在这篇文章中,作者测试了这些研究中使用的三个关键假设的有效性。他们检验了基于综合而非市场价格数据分析得出结论的有效性;他们回顾了交易成本水平的证据,以检验用于建模期货交易策略的成本模型;最后,他们测试了一个假设,即cta通常收取2%的管理费和20%的激励(绩效)费。此外,它们还呈现了收费结构随时间的变化趋势。他们的发现表明,基于合成期货的推断与基于交易所交易数据的推断相同。在整个期间,平均费用水平为1.82%(管理)和20.2%(激励)-与文献中使用的水平没有显着差异。主题:期货和远期合约、实物资产/另类投资/私募股权、大宗商品
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Testing Futures Trading Strategy Assumptions
There is a growing literature examining futures-based trading strategies and the performance of commodity trading advisors (CTAs). In this article, the authors test the validity of three key assumptions used in these studies. They test the validity of basing conclusions on analysis of synthetic rather than market price data; they review the evidence on the level of transaction costs, to test the cost model used in modeling futures-based trading strategy; and finally, they test the assumption that CTAs generally charge a management fee of 2% and incentive (performance) fee of 20%. In addition, they present the trend over time in the structure of fees. Their findings suggest that inferences based on synthetic futures replicate those based on exchange-traded data. Over the full period, the average fee levels were 1.82% (management) and 20.2% (incentive)—not significantly different from the levels used in the literature. TOPICS: Futures and forward contracts, real assets/alternative investments/private equity, commodities
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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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