경제 트렌드를 사용한 포트폴리오 (AQR 화이트페이퍼) (On work)

https://www.aqr.com/Insights/Research/White-Papers/Economic-Trend

Economic Trend_ (1).pdf

0.55MB

이전에 경제의 모멘텀 아이디어를 어떻게 구체화할 수 없을까 생각하고 조잡하게나마 고민해본 적이 있었다. 그런데 최근 AQR 페이퍼에서 이를 좀 더 구체화한 페이퍼를 출간했다. 

페이퍼는 경제 추세 5가지를 사용, 4가지 자산으로 포트폴리오를 구성하고 있다. 어찌보면 아주 클래식한 매크로 투자 접근 방법을 좀 더 구체화했다고 볼 수 있는데, 상당히 우수한 백테스팅 결과를 보여주고 있다. 상식적인 매크로 투자 방식의 아직도 퍼포먼스가 여전히 유효하다는게 사실 놀랍다. 

채권에서의 모멘텀 전략/ 밸류에이션 전략

경기선행지수+실업률 주식 전략 

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경제 추세별로 자산군에 미치는 영향을 정하고, 그에 따라 포트폴리오를 조정한다.

1.성장:GDP 예측치 (없으면 지난 1년 자료 대용)

2인플레이션: 인플레이션 예측치

3.국제 무역 : 수출가중 FX절하 (*의미 잘 모르겠음)

4.통화정책: 2년 금리 상승

5.위험회피 : 강한 주식 시장 수익률 및 크레딧 스프레드 축소 

좀 더 자세한 방법론은 이하.

Our economic trend backtest uses simple 12-month trailing indicators, similar to Brooks (2017), as summarized in Exhibit 1. For both growth and inflation, we use 12-month changes in GDP growth forecasts and CPI inflation forecasts.6 For international trade, we use 12-month changes in the local spot FX rate against an export-weighted basket. We measure monetary policy trends using 12-month changes in short term bond yields.7 And we measure risk aversion trends using an equal weighted combination of 12-month trailing equity market returns and 12-month changes in credit spreads.8

For each theme, we assert a relationship with returns in each asset class. For example, increasing growth is good news for equity markets. Likewise, strong equity market performance is associated with declining inflation, expansionary monetary policy trends, improving trade competitiveness, and declining risk aversion. The signs of these relationships are based on theoretically motivated and empirically verified “other things equal” contemporaneous relationships between returns and news about each theme. Economic trend is built on the premise that news tends to have a persistent impact on asset prices, which implies that contemporaneous and predictive relationships between returns and news must have the same sign. This restriction reduces the scope for data mining in a real-world setting: to trade on economic trends, you must demonstrate that news about the state variable has a contemporaneous impact on returns of the same sign.

 

Our asset universe includes 15 global equity futures, 9 bond futures, 7 interest rate futures, 8 currency forwards, and 20 commodity futures. For each of the five economic themes we create a portfolio for each of the four asset classes, leaving us with 20 asset class-theme portfolios (e.g., growth within equities).9 We aggregate these asset class-theme portfolios into equal risk-weighted composite portfolios.

We form three types of composite portfolios:

1. Asset class composite portfolios—these combine all theme views at equal risk-weight within a given asset class. For example, the equity asset class composite portfolio invests in equity index futures using growth, inflation, international trade, monetary policy, and risk aversion as inputs.

2. Theme composite portfolios—these trade a single theme across all asset classes. For example, the growth theme composite portfolio invests in equity index futures, bond futures, interest rate futures, currency forwards, and commodity futures, using views based solely on growth.

3. Aggregate economic trend composite portfolio—this is an equal risk-weighted composite across all asset class-theme portfolios. It represents the full economic trend strategy, implemented using all themes and assets. For each asset class we form analogous portfolios for price trend, using an equalweighted combination of 1-month, 3-month, and 12-month trailing asset returns as factors. The price trend asset class and aggregate composite portfolios use the same universe and portfolio construction as described above. All composite portfolios (both economic trend and price trend) target 10% constant volatility at each point in time using a trailing 3-year covariance matrix.

 

*연평균 13.3%의 수익을 보이고 있으며 주식, 채권과의 상관관계도 낮다.

주식, 채권 대비 우수한 DD를 보인다.