PID2021-126300NB-I00
Financiado
SEÑAL DIRECCIONAL Y GESTIION PATRIMONIAL: REDUCION DE EL RIESGO DE PERDIDA DE VALOR EN LA GESTION PATRIMONIAL
MANY TRADING STRATEGIES THAT HAVE BEEN USED BY THE ASSET MANAGEMENT INDUSTRY IN GENERAL SUFFERS FROM RARE BUT SEVERE CRASHES. AS AN EXAMPLE, BETWEEN APRIL 2020 AND NOVEMBER 2020, AS CONSEQUENCE OF THE COVID PANDEMIC SHOCK, THE MO...
MANY TRADING STRATEGIES THAT HAVE BEEN USED BY THE ASSET MANAGEMENT INDUSTRY IN GENERAL SUFFERS FROM RARE BUT SEVERE CRASHES. AS AN EXAMPLE, BETWEEN APRIL 2020 AND NOVEMBER 2020, AS CONSEQUENCE OF THE COVID PANDEMIC SHOCK, THE MOMENTUM STRATEGY LOST ROUGHLY 38% OF ITS PORTFOLIO VALUE. MORE SEVERE LOSSES WERE REPORTED DURING THE 2008-2009 FINANCIAL CRISIS, WHERE MOMENTUM LOST ROUGHLY 80% IN JUST 2 MONTHS (MARCH 2009 TO APRIL 2009). THESE FIGURES EMPHASIZE THE IMPORTANCE OF DEVELOPING WEALTH MANAGEMENT STRATEGIES THAT ARE LESS AFFECTED BY CRASHES AND THAT INCORPORATE MORE ACCURATE INFORMATION ABOUT FUTURE RETURNS. MOTIVATED BY THE NEED TO IMPROVE CURRENT TRADING STRATEGIES, WE RECENTLY DEVELOPED A NEW METHODOLOGY THAT CAN BE APPLIED TO EXISTING TRADING STRATEGIES AND MIGHT HELP IN IMPROVING THE RETURN PERFORMANCE AS WELL AS REDUCING THE PROBABILITY OF NEGATIVE RETURNS OF THE AVAILABLE TRADING STRATEGIES. IN PARTICULAR, WE DEMONSTRATE THAT WHILE PREDICTING STOCK RETURNS IS AN ELUSIVE GOAL, PREDICTING THE DIRECTION OF CHANGE OF RETURNS (THE SIGN OF FUTURE RETURNS), MAY BE A FEASIBLE AND PROFITABLE OBJECTIVE. DEPARTING FROM DIEBOLD AND CHRISTOFFERSEN, (2006) AND DIEBOLD ET AL., (2007) WE PROVIDE EVIDENCE THAT AFTER ACCOUNTING FOR MARKET STATES, THE CONDITIONAL PROBABILITY OF OBSERVING POSITIVE RETURNS AFTER A SEQUENCE OF K CONSECUTIVE NEGATIVE RETURNS IS INCREASING WITH K ON AVERAGE ACROSS THE STOCKS IN OUR SAMPLE. WE EXPLOIT THIS FEATURE AND USING MONTHLY EQUITY RETURNS WE ESTIMATE THE EXPECTED PROBABILITY OF FUTURE POSITIVE RETURN (THAT WE CALL DIRECTIONAL SIGNAL SCORE) FOR EACH STOCK IN OUR SAMPLE FROM AUGUST 1932 TO DECEMBER 2020. WE THEN INTRODUCE A STRATEGY THAT BUYS STOCKS WITH A HIGH DIRECTIONAL SIGNAL SCORE AND SELLS STOCKS WITH A LOW DIRECTIONAL SIGNAL SCORE. THIS DIRECTIONAL WINNERS MINUS LOSERS STRATEGY (D-WML) PRODUCES HIGH AND SIGNIFICANT RISK-ADJUSTED RETURNS (1% PER MONTH ON AVERAGE) AND, IMPORTANTLY, NEVER EXPERIENCED 3-MONTH CUMULATIVE RETURNS BELOW 30% (I.E., DOES NOT EXPERIENCE CRASHES). IN ADDITION TO OUR D-WML STRATEGY, WE CONSIDER COMPLEMENTING THE STANDARD MOMENTUM STRATEGY (WML) WITH OUR DIRECTIONAL SIGNAL SCORE. THE STRATEGY WE CONSIDER TRADES ON A SUBSET OF MOMENTUM STOCKS WITH STRONG DIRECTIONAL SIGNALS. TESTED OVER ROUGHLY 90 YEARS OF US STOCK DATA, THE MODIFIED MOMENTUM STRATEGY IS NOT SPANNED BY COMMON FACTORS INCLUDING MOMENTUM AND SHORT/LONG-TERM REVERSAL, EXHIBITS HIGHER RISK-ADJUSTED RETURNS, HIGHER SHARPE AND INFORMATION RATIOS AND LOWER FREQUENCY OF CRASHES COMPARED TO THE CLASSICAL MOMENTUM STRATEGY. OUR INITIAL EMPIRICAL EVIDENCE SHOWS PROMISING RESULTS ON THE POSSIBILITY TO EQUIP THE STANDARD METHODOLOGIES USED IN WEALTH MANAGEMENT WITH A SIGN INDICATOR THAT WILL ALLOWS TO AVOID CRASHES IN THE STRATEGY. OUR METHODOLOGY COULD BE APPLIED TO THE SET OF 452 EQUITY RETURN ANOMALIES (SEE HOU, ZUE AND ZHANG, 2020) AND IMPROVE THEM IN ORDER TO REDUCE THE PROBABILITY OF CRASHES IN THE APPLIED STRATEGY AND INCREASE THE STABILITY OF THE LONG-TERM RETURNS. ALTHOUGH THE APPLICATION OF OUR STRATEGY TO EQUITY RETURNS IS STRAIGHTFORWARD, THE ASSET MANAGEMENT INDUSTRY IS NOT ONLY FOCUSED ON STOCKS BUT INCLUDES FIXED INCOME INSTRUMENTS, COMMODITIES AND OPTIONS. OUR DIRECTIONAL SIGNAL STRATEGY COULD BE APPLIED TO THE SET OF THE OTHER SECURITIES AVAILABLE IN THE MARKET LIKE FIXED INCOME AND OPTIONS. IGNO DE RENDIMIENTO\RENDIMIENTO DE OPCIONES\RENDIMIENTO DE BONOS\RENDIMIENTO DE ACCIONES\GESTION DE PATRIMONIO
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Línea de financiación: concedida
El organismo AGENCIA ESTATAL DE INVESTIGACIÓN notifico la concesión del proyecto el día 2021-01-01
AEI
No se conoce la línea exacta de financiación, pero conocemos el organismo encargado de la revisión del proyecto.
Presupuesto
El presupuesto total del proyecto asciende a
34K€
Líder del proyecto
FUNDACION PRIV. DE CATALUÑA PARA LA UNIVERSID...
No se ha especificado una descripción o un objeto social para esta compañía.
