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Asset Class Trend Following
 
Asset class trend following is a strategy that tries to exploit a momentum anomaly between various assets. It uses various moving averages/momentum filters to gain an exposure to an asset class only at the time when there is a higher probability for outperformance with less risk. This strategy has been popularized by Mebane Faber (with risk parity weighting tweaking), one of its main proponents. We present Faber's simple version and links to other similar strategies are in «Other papers» section (also recommended to read).
 
Fundamental reason
 
Momentum/trend following filter rules are able to divide time into periods with lower performance (higher volatity/risk) and higher performance (lower volatility/risk). A portfolio of several asset classes with incorporated momentum filter rules could enhance returns and lower risks as this portfolio exploits diversification benefits of low correlation between assets.
 

 
Use 5 ETFs (SPY — US stocks, EFA — foreign stocks, BND — bonds, VNQ — REITs, GSG — commodities), equal weight the portfolio. Hold asset class ETF only when it is over its 10 month Simple Moving Average, otherwise stay in cash.
 





Описание: www.russell.com/Institutional/research_commentary/PDF/Volatility_responsive_asset_allocation_.pdf


2 стратегия

 
FX Carry Trade
 
The carry trade strategy is probably the most widely known strategy in a currency market. The strategy systematically sells low interest rate currencies and buys high interest rates currencies trying to capture spread between rates. A carry trade strategy is often correlated with global financial and exchange rate stability.
 
Fundamental reason
 
In theory, according to uncovered interest rate parity, carry trades should not yield a predictable profit because the difference in interest rates between two countries should equal the rate at which investors expect the low-interest-rate currency to rise against the high-interest-rate one. High interest rate currency often do not fall enough to offset carry trade yield difference between both currencies as inflation is lower then expected in high-interest-rate country. Carry trades also often weaken the currency that is borrowed, because investors sell the borrowed money by converting it to other currencies. Systematic portfolio rebalancing allows capturing these gains.
 



Create an investment universe consisting of several currencies (10-20). Go long 3 currencies with highest central bank prime rates and go short 3 currencies with lowest central bank prime rates. The cash not used as margin is invested on overnight rates. The strategy is rebalanced monthly.





Описание: index.db.com/htmlPages/DBCR_brochure.pdf