商品滚动策略的期限结构:来自能源期货的证据

Hamed Ghoddusi
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引用次数: 0

摘要

本文研究了能源期货市场滚动策略收益的期限结构。我们的创新之处在于报告和分析风险/回报概况、夏普比率,以及基于同一基础商品但期限在2至12个月之间的期货合约的展期策略的资产定价负荷。我们发现,有条件的展期策略,即在现货溢价中持有多头头寸,在期货溢价中持有空头头寸,在所有商品中提供最高的夏普比率。虽然我们没有观察到不同滚动头寸在资产定价贝塔方面的显著差异,但对于到期时间较短的合约,夏普比率往往更高。我们还报告了能源大宗商品的一些不同的期限结构模式。本文的研究结果对管理以商品为基础的投资具有启示意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Maturity Structure of Commodity Roll Strategies: Evidence from the Energy Futures
We investigate the maturity-structure of roll strategy returns in the energy futures markets. Our innovation is to report and analyze the risk/return profile, the Sharpe ratio, and the asset pricing loadings of rollover strategies based on futures contracts of the same underlying commodity but with maturities between two and 12 months. We find that a conditional rollover strategy, which takes a long position in backwardation and a short position in contango, delivers the highest Sharpe ratio for all commodities. While we don't observe a significant difference in terms of asset pricing beta for different roll positions, the Sharpe ratio tends to be higher for contracts with a shorter time to maturity. We also report some distinct patterns of maturity-structure across energy commodities. Findings of the paper have implications for managing commodity-based investments.
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