趋势跟踪变得简单:如何从零开始创建CTA

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Alternative Investments Pub Date : 2023-03-02 DOI:10.3905/jai.2023.1.186

Nicolas Rabener

{"title":"趋势跟踪变得简单:如何从零开始创建CTA","authors":"Nicolas Rabener","doi":"10.3905/jai.2023.1.186","DOIUrl":null,"url":null,"abstract":"CTAs have generated strong returns in 2022 and regained investors’ interest in improving portfolio diversification. However, given their nature of being simultaneously long and short multiple asset classes and constantly changing their portfolios, they often are viewed as black-box strategies. We show that CTA performance can be approximately replicated top-down by using just four asset classes, as well as by creating a CTA bottom-up utilizing 59 indexes. Neither process is complicated and both increase transparency on the investment process and portfolio construction of CTAs, which may help investors become more comfortable with this investment strategy.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":"26 1","pages":"10 - 21"},"PeriodicalIF":0.4000,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Trend Following Made Easy: How to Create a CTA from Scratch\",\"authors\":\"Nicolas Rabener\",\"doi\":\"10.3905/jai.2023.1.186\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"CTAs have generated strong returns in 2022 and regained investors’ interest in improving portfolio diversification. However, given their nature of being simultaneously long and short multiple asset classes and constantly changing their portfolios, they often are viewed as black-box strategies. We show that CTA performance can be approximately replicated top-down by using just four asset classes, as well as by creating a CTA bottom-up utilizing 59 indexes. Neither process is complicated and both increase transparency on the investment process and portfolio construction of CTAs, which may help investors become more comfortable with this investment strategy.\",\"PeriodicalId\":45142,\"journal\":{\"name\":\"Journal of Alternative Investments\",\"volume\":\"26 1\",\"pages\":\"10 - 21\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2023-03-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Alternative Investments\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jai.2023.1.186\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jai.2023.1.186","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

CTA在2022年产生了强劲的回报，并重新获得了投资者对改善投资组合多元化的兴趣。然而，考虑到它们同时做多和做空多个资产类别并不断改变投资组合的性质，它们通常被视为黑匣子策略。我们表明，通过仅使用四个资产类别，以及通过使用59个指数创建自下而上的CTA，可以近似自上而下地复制CTA性能。这两个过程都不复杂，都增加了CTA投资过程和投资组合构建的透明度，这可能有助于投资者对这种投资策略更加适应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Trend Following Made Easy: How to Create a CTA from Scratch

CTAs have generated strong returns in 2022 and regained investors’ interest in improving portfolio diversification. However, given their nature of being simultaneously long and short multiple asset classes and constantly changing their portfolios, they often are viewed as black-box strategies. We show that CTA performance can be approximately replicated top-down by using just four asset classes, as well as by creating a CTA bottom-up utilizing 59 indexes. Neither process is complicated and both increase transparency on the investment process and portfolio construction of CTAs, which may help investors become more comfortable with this investment strategy.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Alternative Investments BUSINESS, FINANCE-

CiteScore

1.50

自引率

14.30%

发文量

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