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Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic
Economies Pub Date : 2021-05-28 , DOI: 10.3390/economies9020086
Renata Guobužaitė , Deimantė Teresienė

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s performance with a well-diversified futures portfolio across different asset classes. The research concludes that constructing a portfolio based on academically/economically sound momentum signals with its allocation timing based on broader economic factors significantly improves managed futures strategies and adds significant diversification benefits to the investors’ portfolios.

中文翻译:

经济因素能否改善动量交易策略?COVID-19 大流行期间的托管期货案例

系统动量交易是不同投资组合中普遍存在的风险溢价策略。本文侧重于基于跨不同经济体制的动量信号的管理期货策略的表现,重点关注 COVID-19 大流行时期。COVID-19 对金融市场产生了稳固但短暂的影响,因此在市场压力如此关键的时刻为动量策略的表现提供了独特的见解。我们通过将宏观经济变量添加到模型中,提供了一种实施动量策略的新方法。我们使用跨不同资产类别的多元化期货投资组合来测试托管期货策略的表现。
更新日期:2021-05-28
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