通过趋势策略降低再平衡导致的回撤
Optimizing Portpolio Rebalancing by Trend Following Strategies
程昊 1王翠涵 2朱芳草3
作者信息
- 1. 国投证券股份有限公司 北京 100033
- 2. 华创证券有限责任公司 北京 100032
- 3. 益民基金管理有限公司 北京 100052
- 折叠
摘要
组合再平衡作为风险管理的必要手段之一有其适用条件,当市场环境和再平衡的适用环境不一致,就会体现为策略的"缺陷".当再平衡组合中某类或某几类资产存在明显趋势时,再平衡组合相对于买入并持有组合表现更差,再平衡的这种特性被称为"负凸性"(negative convexity)①.本文实证结果表明,再平衡的负凸性可以通过趋势策略内含的"正凸性"补充,添加趋势跟随策略敞口能够有效改善再平衡组合在趋势行情下的风险收益特性.
Abstract
As one of the necessary means of risk management,portfolio rebalancing has its application condi-tions.When the market environment is inconsistent with the application environment of rebalancing,it will be reflected in the"defect"of the strategy.When there is an obvious trend in one or several types of assets,the rebalanced portfo-lio underperform than that of the buy and hold portfolio.The above characteristic of portfolio rebalancing is called"neg-ative convexity".The empirical results of this paper show that the negative convexity of rebalancing can be supplemen-ted by the"positive convexity"of the trend strategy,and adding the position of the trend following strategy can effec-tively ameliorate the risk return characteristics of rebalanced portfolio in the trend market.
关键词
再平衡/趋势策略/凸性Key words
Rebalancing/Trend Folloning Strategy/Convexity引用本文复制引用
出版年
2024
NETL
NSTL
维普
万方数据