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

作　　者：韦勇凤[1] 赵伟 WEI Yongfeng;ZHAO Wei(School of Management,University of Science and Technology of China,Heifei 230026,China;Stated-owned Assets Supervion and Administration Commission of Shanghai,Shanghai 200003,China)

机构地区：[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

出　　处：《中国科学院大学学报（中英文）》2022年第5期593-614,共22页Journal of University of Chinese Academy of Sciences

基　　金：国家自然科学基金(11871448)资助。

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。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 riskadjusted 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.

关 键 词：动量崩溃 商品期货 风险管理 夏普比例 

分 类 号：F830.9[经济管理—金融学]