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) 曾指出时间序列的动量效应可为国际期货的多元化投资组合带来显著的高alpha（超额收益）。然而我们的研究发现，这部分超额收益绝大部分是基于风险平价配置资产的结果，而非来自于时间序列的动量效应。当未采用风险平价进行资产配置时，动量策略与买入并持有策略的累积收益率表现相似，而且两个策略产生的alpha并无显著差异。该结论对大部分的期货合约和期货投资组合均具有适用性。相较于未进行风险平价配置（进行风险平价配置）的时间序列动量效应，横截面的动量效应可以带来更高的（无差异的）alpha。

关键词：动量效应，期货定价，跨国资产配置

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

原文链接：

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

翻译：柳依依