An Analysis of Global Futures Portfolios Trading Strategies
碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === This thesis examines trading strategies about global futures portfolio based on moving average rule (shorting is allowed) and portfolio theory separately, from the perspective of technical analysis and asset allocation, and compares the performance with simple b...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2015
|
Online Access: | http://ndltd.ncl.edu.tw/handle/43888620847352363170 |
id |
ndltd-TW-103TKU05304034 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-103TKU053040342016-08-12T04:14:31Z http://ndltd.ncl.edu.tw/handle/43888620847352363170 An Analysis of Global Futures Portfolios Trading Strategies 全球期貨投資組合交易策略分析 Keqing Zhang 張恪清 碩士 淡江大學 財務金融學系碩士班 103 This thesis examines trading strategies about global futures portfolio based on moving average rule (shorting is allowed) and portfolio theory separately, from the perspective of technical analysis and asset allocation, and compares the performance with simple buy and hold strategy. Our sample includes the daily data of futures close price of S&P500, 10-year T-Bond of America, US Dollar Index, gold and crude oil. The sample period covers from January 2, 2007 to June 28, 2013. The empirical results imply that technical analysis and asset allocation trading models all underperform simple buy and hold strategy. Among all the asset allocation trading models, the performance of constant weights strategy with quarterly rebalance is the best. Comparing the performance of dynamic weights strategies with constant weights strategies, only dynamic monthly rebalance strategy outperform constant monthly rebalance strategy, dynamic quarterly and half-year rebalance strategies all underperform constant quarterly and half-year rebalance strategies. 李命志 李彥賢 2015 學位論文 ; thesis 85 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === This thesis examines trading strategies about global futures portfolio based on moving average rule (shorting is allowed) and portfolio theory separately, from the perspective of technical analysis and asset allocation, and compares the performance with simple buy and hold strategy. Our sample includes the daily data of futures close price of S&P500, 10-year T-Bond of America, US Dollar Index, gold and crude oil. The sample period covers from January 2, 2007 to June 28, 2013.
The empirical results imply that technical analysis and asset allocation trading models all underperform simple buy and hold strategy. Among all the asset allocation trading models, the performance of constant weights strategy with quarterly rebalance is the best. Comparing the performance of dynamic weights strategies with constant weights strategies, only dynamic monthly rebalance strategy outperform constant monthly rebalance strategy, dynamic quarterly and half-year rebalance strategies all underperform constant quarterly and half-year rebalance strategies.
|
author2 |
李命志 |
author_facet |
李命志 Keqing Zhang 張恪清 |
author |
Keqing Zhang 張恪清 |
spellingShingle |
Keqing Zhang 張恪清 An Analysis of Global Futures Portfolios Trading Strategies |
author_sort |
Keqing Zhang |
title |
An Analysis of Global Futures Portfolios Trading Strategies |
title_short |
An Analysis of Global Futures Portfolios Trading Strategies |
title_full |
An Analysis of Global Futures Portfolios Trading Strategies |
title_fullStr |
An Analysis of Global Futures Portfolios Trading Strategies |
title_full_unstemmed |
An Analysis of Global Futures Portfolios Trading Strategies |
title_sort |
analysis of global futures portfolios trading strategies |
publishDate |
2015 |
url |
http://ndltd.ncl.edu.tw/handle/43888620847352363170 |
work_keys_str_mv |
AT keqingzhang ananalysisofglobalfuturesportfoliostradingstrategies AT zhāngkèqīng ananalysisofglobalfuturesportfoliostradingstrategies AT keqingzhang quánqiúqīhuòtóuzīzǔhéjiāoyìcèlüèfēnxī AT zhāngkèqīng quánqiúqīhuòtóuzīzǔhéjiāoyìcèlüèfēnxī AT keqingzhang analysisofglobalfuturesportfoliostradingstrategies AT zhāngkèqīng analysisofglobalfuturesportfoliostradingstrategies |
_version_ |
1718375008767574016 |