|
||||||||
|
时间：1月6日10：00-11：30 地点：文荟楼201室 主讲：北爱尔兰Queen's University Belfast在读博士刘嘉栋 摘要： A new type of momentum based on the probability of return signs is introduced. Position signals are generated when the average of past returns signs is above (long) or below (short) a certain threshold. We consider fixed and time-varying values for this threshold. We create a portfolio which invests in 55 of the world's most liquid commodity and financial futures. Investment strategies using returns signal momentum result often in higher returns, higher Sharpe ratio and lower drawdown when compared to the naive 1/N, simple price moving average and time series momentum strategies. Returns signal momentum can, hence, be considered as an effective strategy for speculation and hedging by market participants.
|
