金融市场动量质量与风险调整动量

Momentum Quality and Risk-adjusted Momentum in Financial Markets

风险调整后收益及信息连续性均可以对传统动量策略的投资绩效进行一定改善。利用波动率、下行波动率及CVaR三种风险指标构造风险调整动量,利用信息连续性构造动量质量,并在我国股市的行业投资层面检验了两者对传统动量策略的改进效果,研究结果表明:无论是12个月的中长期动量还是1个月的短期动量,动量质量及风险调整后动量均能有效改善传统动量的绩效表现,表现为更高的年化收益率及夏普比率,且该研究结论在不同的分样本区间及商品期货市场同样稳健。研究结论既是对行业投资及资产配置理论的有力补充,同时也具有较强的实践指导意义,如在行业层面运用动量策略时应考虑风险及投资者有限关注对策略绩效的影响。

Risk-adjusted returns and information continuity can improve the investment performance of traditional momentum strategies.The paper used three risk indicators including volatility,downward volatility and CVaR to construct risk adjustment momentum,and information continuity is used to construct momentum quality.The improvement effects of the two on traditional momentum strategies are tested at the industry investment level of China’s stock market.The research results show that whether it is a 12-month medium-to-long-term momentum or a 1-month short-term momentum,momentum quality and risk-adjusted momentum can effectively improve the performance of traditional momentum,manifested in a higher annualized return and Sharpe ratio,and the research conclusion is stable in different sub-sample intervals and commodity futures markets.The research conclusions are not only a powerful supplement to the theory of industry investment and asset allocation,but also have strong practical guiding significance.For example,when using momentum strategies at the industry level,risks and the impact of investors’limited attention on strategy performance should be considered.