CTA Bibliography

作者：CQR        来源公众号： Chihiro Quantitative Research

Antonacci, G. (2013). Absolute momentum: A simple rule-based strategy and universal trend-following overlay.

Antonacci, G. (2016). Risk premia harvesting through dual momentum.

Babu, A., Levine, A., Ooi, Y. H., Pedersen, L. H., & Stamelos, E. (2018). Trends Everywhere. Journal of Investment Management, Forthcoming.

Baltas, N. (2015). Trend-following, risk-parity and the influence of correlations. In Risk-based and Factor Investing (pp. 65-95). Elsevier.

Baltas, N. (2016). Multi-Asset Seasonality and Trend-Following Strategies.

Baltas, N. (2017). Optimizing Cross-Asset Carry. In Factor Investing (pp. 317-364). Elsevier.

Baltas, N., Jessop, D., Jones, C., & Zhang, H. (2013). Trend-Following meets Risk-Parity. UBS Investment Research.

Baltas, N., Jessop, D., Jones, C. and Zhang, H. (2014). Correlation, De-correlation and Risk-Parity. UBS.

Baltas, A. N., & Kosowski, R. (2012). Improving time-series momentum strategies: The role of trading signals and volatility estimators. SSRN eLibrary.

Baltas, N., & Kosowski, R. (2013). Momentum strategies in futures markets and trend-following funds.

Baltas, N., & Kosowski, R. (2017). Demystifying time-series momentum strategies: volatility estimators, trading rules and pairwise correlations.

Barbieri, A., & Stoyanov, T. (2011). The Barra Commodity Model (COM2). MSCI Model Insights.

Baz, J., Granger, N., Harvey, C. R., Le Roux, N., & Rattray, S. (2015). Dissecting investment strategies in the cross section and time series.

Benham, F., Walsh, E., & Obregon, R. (2015). Evaluating Commodity Exposure Opportunities.

Bhansali, V., Davis, J., Dorsten, M. P., & Rennison, G. (2015). Carry and Trend in Lots of Places.

Bianchi, D. (2018). Carry Trades and Tail Risk: Evidence from Commodity Markets.

Blitz, D., & De Groot, W. (2013). Strategic allocation to commodity factor premiums.

Blocher, J., Cooper, R., & Molyboga, M. (2018). Benchmarking commodity investments. Journal of Futures Markets, 38(3), 340-358.

Bruder, B., Dao, T. L., Richard, J. C., & Roncalli, T. (2011). Trend filtering methods for momentum strategies.

Campbell. (2014). Deconstructing Futures Returns: The Role of Roll Yield. Campbell & Company.

Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, 63-80.

Cook, M. , Hoyle, E. , Sargaison, M. , Taylor, D. , & Van Hemert, O. . (2017). The best strategies for the worst crises. Social Science Electronic Publishing.

Dori, F. , Ruetsche, E. , & Schubiger, U. . (2017). Managed futures and the kiss effect, or, who's afraid of pricey markets?. Social Science Electronic Publishing.

Dudler, M., Gmür, B. and Malamud, S. (2015). Momentum and Risk Adjustment. The Journal of Alternative Investments.

Dunsby, A. and Nelson, K. (2010). An evolution from passive to active indexes: A Brief History Of Commodities Indexes. journal of indexes.

Du Plessis, J., & Hallerbach, W. G. (2016). Volatility weighting applied to momentum strategies. The Journal of Alternative Investments, 19(3), 40-58.

D’Souza, I., Srichanachaichok, V., Wang, G., & Yao, Y. C. (2016). The enduring effect of time-series momentum on stock returns over nearly 100-years.

Dürr, R., & Voegeli, M. (2009). Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies.

Elaut, G., & Erdos, P. (2017). Adaptive Time Series Momentum: Incorporating Trend Signal Strength and the Performance of Managed Futures.

Erb, C. B., & Harvey, C. R. (2005). The tactical and strategic value of commodity futures (No. w11222). National Bureau of Economic Research.

Fabozzi, F. J., Fuss, R., & Kaiser, D. G. (2008). The handbook of commodity investing (Vol. 156). John Wiley & Sons.

Feldman, B., & Till, H. (2006). Backwardation and commodity futures performance: Evidence from evolving agricultural markets. Journal of Alternative Investments, 9(3), 24.

Fernandez-Perez, A., Fuertes, A. M., & Miffre, J. (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46, 219-226.

Fernandez-Perez, A., Fuertes, A. M., & Miffre, J. (2018). A Flexible Style-Integration Framework.

Fernandez-Perez, A., Frijns, B., Fuertes, A. M., & Miffre, J. (2015). Commodities as lotteries: Skewness and the returns of commodity futures. Unpublished Working Paper, EDHEC Business School.

Fernandez-Perez, A. , Frijns, B. , Fuertes, A. M. , & Miffre, J. . (2017). The skewness of commodity futures returns. Journal of Banking & Finance, S0378426617301504.

Fuertes, A. M., Miffre, J., & Fernandez‐Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. Journal of Futures Markets, 35(3), 274-297.

Fuertes, A. M., Miffre, J., & Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), 2530-2548.

Geczy, C., & Samonov, M. (2013). 212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012). Available at SSRN.

Gorton, G. B., Hayashi, F., & Rouwenhorst, K. G. (2012). The fundamentals of commodity futures returns. Review of Finance, 17(1), 35-105.

Gorton, G., & Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2), 47-68.

Gray, W. (2015). The World’s Longest Trend-Following Backtest. [online] Alpha Architect. Available at: https://alphaarchitect.com/2015/11/09/the-worlds-longest-trend-following-backtest/ [Accessed 25 Dec. 2018].

Greyserman, A., & Kaminski, K. (2014). Trend following with managed futures: The search for crisis alpha. John Wiley & Sons.

Ham, H., Cho, H., Kim, H., & Ryu, D. (2019). Time‐series momentum in China's commodity futures market. Journal of Futures Markets, 39(12), 1515-1528.

Hamill, C., Rattray, S., & Van Hemert, O. (2016). Trend following: equity and bond crisis alpha.

Haghani, V., & McBride, S. (2016). Return chasing and trend following: Superficial similarities mask fundamental differences.

Harvey, C. R., Hoyle, E., Korgaonkar, R., Rattray, S., Sargaison, M., & Van Hemert, O. (2018). The Impact of Volatility Targeting. The Journal of Portfolio Management, 45(1), 14-33.

Huang, D., Li, J., Wang, L., & Zhou, G. (2020). Time series momentum: Is it there?. Journal of Financial Economics, 135(3), 774-794.

Hurst, B., Ooi, Y. H., & Pedersen, L. H. (2010). Understanding managed futures. AQR Capital Management.

Hurst, B., Ooi, Y. H., & Pedersen, L. H. (2013). Demystifying managed futures. Journal of Investment Management, 11(3), 42-58.

Hurst, B., Ooi, Y. H., & Pedersen, L. H. (2017). A century of evidence on trend-following investing.

Hutchinson, M., & O'Brien, J. (2014). Is this time different? Trend following and financial crises.

Idzorek, T. M. (2007). Commodities and strategic asset allocation. Intelligent Commodity Investing, 113-177.

Jusselin, P., Lezmi, E., Malongo, H., Masselin, C., Roncalli, T., & Dao, T. L. (2017). Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies.

Kaufman, P. J. (2011). Alpha trading: profitable strategies that remove directional risk (Vol. 455). John Wiley & Sons.

Kaufman, P. J. (2013). Trading Systems and Methods,+ Website (Vol. 591). John Wiley & Sons.

Kim, A. Y., Tse, Y., & Wald, J. K. (2016). Time series momentum and volatility scaling. Journal of Financial Markets, 30, 103-124.

Koijen, R. S., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2013). Carry (No. w19325). National Bureau of Economic Research.

Levine, A., Ooi, Y. H., & Richardson, M. (2016). Commodities for the long run (No. w22793). National Bureau of Economic Research.

Levine, A., & Pedersen, L. H. (2016). Which trend is your friend?. Financial Analysts Journal, 72(3), 51-66.

Marshall, B., Nguyen, N., & Visaltanachoti, N. (2014). Time-series momentum versus moving average trading rules.

Masteika, S., Rutkauskas, A. V., & Alexander, J. A. (2012, February). Continuous futures data series for back testing and technical analysis. In Conference proceedings, 3rd international conference on financial theory and engineering (Vol. 29, pp. 265-269). IACSIT Press.

Miffre, J. (2016). Long-short commodity investing: A review of the literature. Journal of Commodity Markets, 1(1), 3-13.

Miffre, J., Fuertes, A. M., & Fernandez-Perez, A. (2012). Commodity futures returns and idiosyncratic volatility. Available at SSRN.

Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of financial economics, 104(2), 228-250.

Moss, A., Clare, A., Thomas, S., & Seaton, J. (2015). Trend following and momentum strategies for global REITs. Journal of Real Estate Portfolio Management, 21(1), 21-31.

Nilsson, L. (2015). Trend following - expected returns. Social Science Electronic Publishing.

Persad, S., Baturin, N., Cahan, E. and He, K. (2013). Commodities Factor Model. Bloomberg.

Pitkäjärvi, A., Suominen, M., & Vaittinen, L. (2020). Cross-asset signals and time series momentum. Journal of Financial Economics, 136(1), 63-85.

Rad, H. , Low, R. K. Y. , Miffre, Joëlle, & Faff, R. W. . (2017). Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Social Science Electronic Publishing.

Rohrbach, J., Suremann, S., & Osterrieder, J. (2017). Momentum and trend following trading strategies for currencies revisited-combining academia and industry.

Rollinger, T. (2015). Commodity Long-Short Investing for RIAs, HNWs, Fund of Hedge Funds and Family Offices. Red Rock.

Rzepczynski, M. S. (2015). Trend Following with Managed Futures: The Search for Crisis Alpha (a review).

Struck, C., & Cheng, E. (2019). Time-Series Momentum: A Monte Carlo Approach. The Journal of Financial Data Science, 1(4), 103-123.

Szymanowska, M., De Roon, F., Nijman, T., & Van Den Goorbergh, R. (2014). An anatomy of commodity futures risk premia. The Journal of Finance, 69(1), 453-482.

Switzer, L. N., & Jiang, H. (2010). Market Efficiency and the Risks and Returns of Dynamic Trading Strategies with Commodity Futures. In Proceedings Of The First Interdisciplinary Chess Interactions Conference (pp. 127-156).

Szakmary, A. C., Shen, Q., & Sharma, S. C. (2010). Trend-following trading strategies in commodity futures: A re-examination. Journal of Banking & Finance, 34(2), 409-426.

Taylor, N. (2016). Roll strategy efficiency in commodity futures markets. Journal of Commodity Markets, 1(1), 14-34.

Till, H. (2006). A long-term perspective on commodity futures returns. EDHEC Risk and Asset Management Research Center, EDHEC Business School.

Till, H. (2015). What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research.

UBC (2008). The theory of storage and the convenience yield.

Bakshi, G., Gao, X., & Rossi, A. G. (2017). Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. Management Science.

Ung, D. , & Kang, X. . (2013). Alternative beta strategies in commodities. Social Science Electronic Publishing.

Van Hemert, O. (2014). The MOM-TOM Effect: detecting the market impact of CTA trading.

Zakamulin, V. (2015). A comprehensive look at the empirical performance of moving average trading strategies.

Zaremba, A. (2016). Strategies Based on Momentum and Term Structure in Financialized Commodity Markets.

崔诗笛, & 周英. (2018a).商品期货 CTA 专题报告（一）：量化基本面之库存因子研究.兴证期货.

崔诗笛, & 周英. (2018b).商品期货 CTA 专题报告（二）：基于库存因子的商品期货量化策略.兴证期货.

刀疤连. (2018a). 股市崩的时候，你可否想起我. [online] Chihiro Quantitative Research. Available at: https://mp.weixin.qq.com/s/_-beotOhmCe9prwyipBbCQ

刀疤连. (2018b). 如何构建稳健的商品期货carry组合？. [online] Chihiro Quantitative Research. Available at: https://mp.weixin.qq.com/s/N8pf0CQY7f11GWKM_3r8vw

刀疤连.(2018c). 如何构建连续的期货价格序列？. [online] Chihiro Quantitative Research. Available at: https://mp.weixin.qq.com/s/qpnixtvWLFxPpLoTdHIiDg .

冯佳睿.(2017a).多品种期货策略中的权重分配.海通证券.

冯佳睿.(2017b).商品期货因子挖掘与组合构建再探究.海通证券.

冯佳睿.(2018).CTA因子表现回顾及组合优化探究.海通证券.

韩露.(2011). 库存与商品期货收益率-基于中国市场的实证研究. (Doctoral dissertation, 厦门大学).

蒋俊阳.(2016).拓宽投资领域，挖掘绝对收益——商品期货跨品种套利策略研究.申万证券.

齐放, 朱吾癸, & 林岱.(2015).商品指数ETF概要介绍及研究框架.中信期货.

任瞳, & 于明明.(2017a).CTA策略系列报告之一：顺势而为，趋势为王.兴业证券.

任瞳, & 于明明.(2017b).CTA策略系列报告之二：基于商品期货的期限结构的投资策略.兴业证券.

任瞳, & 于明明.(2017c).CTA策略系列报告之三：基于库存基本面视角的商品期货投资策略（上）.兴业证券.

任瞳, & 于明明.(2017d).CTA策略系列报告之四：基于库存基本面视角的商品期货投资策略（下）.兴业证券.

任瞳, & 于明明.(2018a).CTA策略系列报告之五：商品量化基本面研究框架的探索之螺纹钢.兴业证券.

任瞳, & 于明明.(2018b).CTA策略系列报告之六：商品量化基本面研究框架的探索之铁矿石.兴业证券.

唐齐鸣, 任培政, & 孙文松.(2015). 中国商品期货回报与现货价格变化测度研究——基于便利收益模型的视角. 中国管理科学, 23(9), 80-86.

王韬 (2017a). 趋势跟踪 - 像索罗斯一样穿梭牛熊.[online]阿尔法搬运工. Available at: https://mp.weixin.qq.com/s/o6EisFzE6_XRda2WNmH-cg.

王韬 .(2017b). 危机中的最后一根救命稻草 - 管理期货史上最全解析.[online]阿尔法搬运工. Available at: https://mp.weixin.qq.com/s/Hfyc9U2GbSrD59NCp3f2BA .

吴先兴.(2016).绝对收益策略系列研究之二——商品期货套利策略.海通证券.

吴先兴.(2017a).商品期货CTA专题报告(一):量化CTA策略概述.天风证券.

吴先兴.(2017b).商品期货CTA专题报告(二)：日间趋势策略初探.天风证券.

吴先兴.(2017c).商品期货CTA专题报告（三）：策略的趋势过滤.天风证券.

朱剑涛.(2016). 国内商品期货市场速览.东方证券.

朱剑涛.(2017a). 商品市场宏观风险因子模型初探.东方证券.

朱剑涛.(2017b). 商品组合的风险分析与风险管理.东方证券.

朱淋靖.(2015). 平衡投资的艺术:套利对冲18定式. 中国期货分析师论坛.

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