美国主权债券市场的横截面和时间序列动量

L. Martellini, R. Rebonato, J. Maeso
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引用次数: 1

摘要

在这篇文章中,我们对美国国债的动量和反转策略进行了系统、安全的分析,涵盖了40多年的数据。我们区分了我们所说的“市场”和“自我”时间序列动量(反转)策略,并在这两个时间序列和横截面动量(反转(reverse)策略之间呈现出精确的一致性。这种身份有助于我们确定各种策略的盈利来源,并提出了一个有趣的问题,即收益率变化的第一个和第二个主要组成部分对盈利能力的贡献。我们发现,在回顾期和投资期内,动量时间序列策略(包括“自我”和“市场”)会产生统计上和经济上显著的正夏普比率;但我们发现,在调整了持续时间后,反转横截面策略的夏普比率甚至更大,并且在更宽的回顾期和投资期内都是有利可图的。我们在收益率曲线斜率的均值回归特性中找到了对这一发现的解释。最后,我们发现,持续时间调整的反向横截面策略可以仅以长时间的方式成功实施。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market
In this article, we undertake a systematic, security-level analysis of momentum and reversal strategies in US Treasuries covering more than 40 years of data. We distinguish between what we call “market” and “self” time-series momentum (reversal) strategies and present an exact identity between these two time-series and the cross-sectional momentum (reversal) strategies. This identity helps us identify the sources of profitability of the various strategies and raises an interesting question regarding the contribution to the profitability of the first and second principal components of yield changes. We find that there exist look-back and investment periods for which momentum time series strategies (both “self” and “market”) give rise to statistically and economically significant positive Sharpe ratios; but we find that after adjusting for duration, the reversal cross-sectional strategy has an even larger Sharpe ratio and is profitable over a wider range of look-back and investment periods. We find an explanation for this finding in the mean-reverting properties of the yield-curve slope. Finally, we discover that the duration-adjusted reversal cross-sectional strategy can be successfully implemented in a long-only fashion.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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