JOURNAL OF FINANCIAL MARKET· AVAILABLE ONLINE· IN PRESS· JUNE 2016

作者：Abby Y. Kim (Securities and Exchange Commission)

Yiuman Tse (University of Missouri – St. Louis)

John K.Wald (University of Texas at San Antonio)

摘要：Moskowitz, Ooi和Pedersen (2012) 曾指出時間序列的動量效應可為國際期貨的多元化投資組合帶來顯著的高alpha（超額收益）。然而我們的研究發現，這部分超額收益絕大部分是基于風險平價配置資産的結果，而非來自于時間序列的動量效應。當未采用風險平價進行資産配置時，動量策略與買入并持有策略的累積收益率表現相似，而且兩個策略産生的alpha并無顯著差異。該結論對大部分的期貨合約和期貨投資組合均具有适用性。相較于未進行風險平價配置（進行風險平價配置）的時間序列動量效應，橫截面的動量效應可以帶來更高的（無差異的）alpha。

關鍵詞：動量效應，期貨定價，跨國資産配置

Time series momentum and volatility scaling

Abby Y. Kim (Securities and Exchange Commission), Yiuman Tse (University of Missouri – St. Louis) and John K.Wald (University of Texas at San Antonio)

ABSTRACT

Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international futures contracts. We find that their results are largely driven by volatility-scaling returns (or the so-called risk parity approach to asset allocation) rather than by time series momentum. Without scaling by volatility, time series momentum and a buy-and-hold strategy offer similar cumulative returns, and their alphas are not significantly different. This similarity holds for most sectors and for a combined portfolio of futures contracts. Cross-sectional momentum also offers a higher (similar) alpha than unscaled (scaled) time series momentum.

Keywords: Momentum; Future pricing; International asset allocation

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418116301379

翻譯：柳依依