المؤلفون: Chevalier, Charles, Darolles, Serge

المصدر: Econometrics and Statistics; 20240101, Issue: Preprints

مستخلص: A new method is proposed for disentangling the systematic components from the idiosyncratic components of risk associated with trend-following strategies. A simple statistical approach combined with standard dimension reduction techniques enables to identify the common trending component of futures market prices. This methodology is applied to a large set of futures, covering all asset classes, to extract a common risk factor, called CoTrend. It is shown that common trends are higher for some cross-asset class pairs than for intra-asset class pairs, such as JPY/USD and Gold. This result is used to create sectors in a portfolio diversification context, especially for trend-following strategies. Additionally, the CoTrend factor helps understand arbitrage-based Hedge Fund strategies, which by essence are decorrelated from standard risk factors.

المؤلفون: Pietro, Carvutto, Chevalier, Charles J., Suckling, Gordon, Hardy, Reannie W., Hogendoorn, J., Niblo, Cynthia, Orlander, Hans-Georg

المصدر: Arts of Asia; May/Jun96, Vol. 26 Issue 3, p8-10, 2p, 6 Black and White Photographs

مستخلص: Several letters to the editor are presented in response to articles in previous issues including "Kris of the Malay Archipelago" by Edward Frey in the May-June 1975 issue , the topic regarding Chinese handwarmers in the November-December 1989 issue, and "Overseas Chinese Jar" in the September-October 1995 issue.