时间：1月6日10：00-11：30

地点：文荟楼201室

主讲：北爱尔兰Queen'sUniversityBelfast在读博士刘嘉栋

摘要：

Anewtypeofmomentumbasedontheprobabilityofreturnsignsisintroduced.Positionsignalsaregeneratedwhentheaverageofpastreturnssignsisabove(long)orbelow(short)acertainthreshold.Weconsiderfixedandtime-varyingvaluesforthisthreshold.Wecreateaportfoliowhichinvestsin55oftheworld'smostliquidcommodityandfinancialfutures.Investmentstrategiesusingreturnssignalmomentumresultofteninhigherreturns,higherSharperatioandlowerdrawdownwhencomparedtothenaive1/N,simplepricemovingaverageandtimeseriesmomentumstrategies.Returnssignalmomentumcan,hence,beconsideredasaneffectivestrategyforspeculationandhedgingbymarketparticipants.

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