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Measuring the impact of strategic and tactic allocation for managed futures portfolios
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Uppskattning av strategisk och taktisk allokeringseffekt på terminsportföljer (Swedish)
Abstract [en]

The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. In addition, this thesis examines on which level - instrument, asset class or total portfolio level - a momentum strategy has the largest effect. This is done by applying design of experiments. The final result in this thesis finds that risk parity and target volatility improve the Sharpe ratio compared to a classic 60/40 capital allocation. Furthermore, utilising momentum strategies is the most beneficial on the asset class level, i.e. to allocate between equitiy indices and bond futures.

Abstract [sv]

Den optimala tillgångsallokeringen är ett konstant aktuellt ämne. Den här uppsatsen ämnar undersöka effekten av riskviktning och målrisk på Sharpekvoten för en portfölj som handlar terminskontrakt på aktieindex och obligationer mellan 2000 och 2018. Dessutom undersöker denna uppsats på vilken nivå - instrument, tillgångsklass eller total portföljnivå - som en momentumstrategi har störst effekt. Vilket undersöks med statitisk försöksplanering. Det slutgiltiga resultatet i denna uppsats visar att riskviktning och målrisk förbättrar Sharpe-kvoten jämfört med en klassisk 60/40 kapitalallokering. Vidare är nyttjande av momentumstrategier det mest fördelaktiga på tillgångsklassnivå, det vill säga att allokera mellan aktieindex- och obligationsterminskontrakt.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019:064
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-252303OAI: oai:DiVA.org:kth-252303DiVA, id: diva2:1319932
External cooperation
Lynx Asset Management
Subject / course
Financial Mathematics
Educational program
Master of Science - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2019-06-04 Created: 2019-06-03 Last updated: 2019-06-04Bibliographically approved

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CiteExportLink to record
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