动量策略、动量崩溃及其风险管理——基于中国商品期货市场的实证研究

doi:10.7523/j.ucas.2020.0049

中国科学院大学学报 ›› 2022, Vol. 39 ›› Issue (5): 593-614.DOI: 10.7523/j.ucas.2020.0049

动量策略、动量崩溃及其风险管理——基于中国商品期货市场的实证研究

韦勇凤¹, 赵伟²

1. 中国科学技术大学管理学院, 合肥 230026;
2. 上海市国有资产监督管理委员会, 上海 200003

收稿日期:2020-05-15 修回日期:2020-09-16 发布日期:2021-05-31
通讯作者: 赵伟
基金资助:
国家自然科学基金（11871448）资助

Momentum strategy, momentum crashes, and risk management: an empirical research based on Chinese commodity futures market

WEI Yongfeng¹, ZHAO Wei²

1. School of Management, University of Science and Technology of China, Heifei 230026, China;
2. Stated-owned Assets Supervion and Administration Commission of Shanghai, Shanghai 200003, China

Received:2020-05-15 Revised:2020-09-16 Published:2021-05-31

摘要/Abstract

摘要： 旨在研究中国商品期货市场动量策略的有效性，并且在判断动量崩溃的存在与动因之后提出能够管理动量崩溃风险的有效方法。在考虑交易费用的情况下，构建出的商品期货动量策略能够持续性获得显著的风险调整收益，进一步实证发现中国商品期货市场存在动量崩溃现象，其原因在于输家组合具有类期权性质从而使得时变β对市场组合波动更加敏感，进而主导了动量组合发生崩溃。为了进行动量崩溃的风险管理，提出构建基于目标条件停时的动态权重动量策略以管理动量崩溃风险，结果显示这一方法有效地规避了动量崩溃带来的极端风险，同时获得更高的动量收益和夏普比例。

关键词: 动量崩溃, 商品期货, 风险管理, 夏普比例

Abstract: This article aims to study the effectiveness of momentum strategies in Chinese commodity futures market, and after judging the existence and causes of momentum crashes, puts forward effective methods to manage the risk of momentum crashes. In this paper, considering the transaction costs, the commodity futures momentum strategy can continuously obtain significant risk-adjusted returns, and further empirical discovery of the momentum crashes phenomenon in Chinese commodity futures market. The reason of momentum crashes is that the loser portfolio has the nature of option-like is more sensitive to market portfolio volatility, which in turn leads to the crashes of momentum portfolios. In order to carry out the risk management of momentum crashes, this paper proposes to construct a dynamic weighted momentum strategy based on target condition stop to manage the risk of momentum crashes. The results show that this method effectively avoids the extreme risk brought about by momentum crashes and obtains higher momentum return and Sharpe ratio.

Key words: momentum crashes, commodity futures, risk management, Sharpe ratio

中图分类号:

F830.9

韦勇凤, 赵伟. 动量策略、动量崩溃及其风险管理——基于中国商品期货市场的实证研究[J]. 中国科学院大学学报, 2022, 39(5): 593-614.

WEI Yongfeng, ZHAO Wei. Momentum strategy, momentum crashes, and risk management: an empirical research based on Chinese commodity futures market[J]. Journal of University of Chinese Academy of Sciences, 2022, 39(5): 593-614.

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动量策略、动量崩溃及其风险管理——基于中国商品期货市场的实证研究

Momentum strategy, momentum crashes, and risk management: an empirical research based on Chinese commodity futures market

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