کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960841 1478935 2016 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time series momentum and volatility scaling
ترجمه فارسی عنوان
سری حرکت زمان و مقیاس گذاری نوسانات
کلمات کلیدی
تکانه؛ آینده قیمت گذاری؛ تخصیص دارایی بین المللی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• Large time series momentum alphas in futures markets are largely driven by volatility scaling.
• Unscaled time series momentum alphas are similar to unscaled buy-and-hold alphas.
• Scaled time series momentum alphas are similar to scaled buy-and-hold alphas.
• The similarities hold at the individual contract, sector, or portfolio levels.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 30, September 2016, Pages 103–124
نویسندگان
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