利用商品期货势头进行核心卫星投资

IF 1.5 Q3 BUSINESS, FINANCE
Immo Stadtmüller, Benjamin R. Auer, Frank Schuhmacher
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引用次数: 0

摘要

核心卫星策略通常是为了结合被动投资和主动投资的优势而实施的。我们的研究分析了一种特别有吸引力且准无摩擦的核心卫星方法:在传统资产类别多样化的被动核心中加入主动商品期货动量卫星。我们的研究表明,通过长期反转和偏度信息增强的动量投资组合是极具价值的卫星投资组合。按照流行的战略配置建议,以较低的固定权重考虑动量投资组合,可显著改善投资业绩,降低投资组合对投资者恐惧冲击的敏感性。相比之下,使用基于卫星字母或尾部风险最小化的随时间变化的优化权重则没有那么有利。有趣的是,无论采用哪种加权方案,动量卫星都主要通过降低投资组合风险(而不是增加投资组合回报)来发挥作用,这支持了对主动管理作用的现代解释。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Core-satellite investing with commodity futures momentum

Core-satellite investing with commodity futures momentum

Core-satellite strategies are often implemented to combine the benefits of passive and active investing. Our study analyzes a particularly attractive and quasi-frictionless core-satellite approach: Adding active commodity futures momentum satellites to passive cores diversified across traditional asset classes. We show that momentum portfolios, enhanced by long-term reversal and skewness information, are highly valuable satellites. Considering them with low fixed weights, as suggested by popular strategic allocations, leads to significant improvements in investment performance and reduces portfolio sensitivities to shocks in investor fear. In contrast, using time-varying optimized weights based on satellite alphas or tail risk minimization turns out to be less advantageous. Interestingly and regardless of the considered weighting scheme, momentum satellites shine primarily by lowering portfolio risk (instead of increasing portfolio return) which supports modern interpretations of the role of active management.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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