Multi-Asset Seasonality and Trend-Following Strategies

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

This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns statistically and economically significant premia within commodity and equity index universes. Capitalising these premia directly appears practically difficult, due to the high strategy turnover and associated costs. We therefore suggest a way to actively incorporate seasonality signals into a trend-following strategy by switching off long and short positions, when the respective seasonality signals argue otherwise. The seasonality-adjusted trend-following strategy constitutes a significant improvement to the raw strategy across both commodities and equity indices. The increased turnover can impact the performance pickup, but the relatively low trading costs of liquid futures contracts as well as methodological amendments that optimise position smoothing can render the improvement genuine.

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3 回帖

关键词：Strategies following seasonal Strateg follow difficult directly appears average classes

挺好玩的主题，谢谢lz分享！