跨越两个世纪与四类资产的趋势跟随
文章 arXiv papers · 作者: Y. Lempérière et al.
总结
本研究考察大宗商品、货币、股票指数和债券在异常漫长历史时期中的趋势跟随表现。研究使用始于1960年的期货序列，以及大宗商品和指数中可追溯至1800年的现货序列。在控制整体市场上涨趋势后，作者报告了具有统计显著性的超额收益，且这一效应在不同时期和资产类别中似乎保持稳定。
进一步分析发现，趋势信号与收益之间的关系会在信号值较大时趋于饱和。作者认为，这种模式符合基本面交易者在自身信号变强时做出响应的情况。对于近期时期，研究未发现长期趋势在统计上有所减弱，而短期趋势则显著减弱。证据涵盖不同工具和时期，但历史现货与期货样本的覆盖范围不同，摘要也未说明实施成本或投资组合构建细节；因此，报告的超额收益不能证明实际可实现的净表现。
核心观点
- 研究测试了大宗商品、货币、股票指数和债券中的趋势跟随表现。
- 研究结合始于1960年的期货历史数据，以及时间跨度更长的大宗商品和指数现货记录。
- 控制整体市场上涨趋势后，报告的超额收益仍具有统计显著性。
- 趋势信号在取值较高时存在饱和效应。
- 近期结果显示，长期趋势在统计上未减弱，而短期趋势显著减弱。
标签
全文
# Two centuries of trend following # Two centuries of trend following We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is $\approx 5$ since 1960 and $\approx 10$ since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.
在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0
此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。