Information ratio analysis of momentum strategies

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

In the past 20 years, momentum or trend following strategies have become an established part of

the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the

information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR

of a momentum strategy, and show that if momentum is mainly due to the positive autocorrelation in

returns, IR as a function of the portfolio formation period (look-back) is very di
erent from momentum

due to the drift (average return). The IR shows that for look-back periods of a few months, the investor

is more likely to tap into autocorrelation. However, for look-back periods closer to 1 year, the investor

is more likely to tap into the drift. We compare the historical data to the theoretical IR by constructing

stationary periods. The empirical study nds that there are periods/regimes where the autocorrelation

is more important than the drift in explaining the IR (particularly pre-1975) and others where the drift

is more important (mostly after 1975). We conclude our study by applying our momentum strategy

to 100 plus years of the Dow-Jones Industrial Average. We report damped oscillations on the IR for

look-back periods of several years and model such oscilations as a reversal to the mean growth rate.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：information Strategies Informatio formation informat following function positive investor standard

感谢分享好资料！