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    題名: Are investors’ portfolios enhanced by incorporating CTA index funds?
    作者: Ni, Yen-Sen;Huang, Pao-Yu
    貢獻者: 淡江大學管理科學學系
    關鍵詞: managed futures funds;CTA index;correlation coefficients;asset allocation
    日期: 2014
    上傳時間: 2013-10-21 12:10:29 (UTC+8)
    出版者: Abingdon: Routledge
    摘要: By exploring the CTA index with other representative indices across stock, bond, currency, futures, oil, gold and commodity markets, we reveal several impressive findings for the CTA index. First, an upward trend exists for the CTA index without obvious drops. Second, a lower correlation is shown between the CTA index and each of these indices without exceptions. Third, neither causality nor cointegration is revealed as well. The findings revealed above seldom coexist for other financial commodities, implying that investors are able to enhance their portfolios by incorporating CTA index funds according to the portfolio selection proposed by Markowitz (1952).
    關聯: Applied Economics Letters 21(1), pp.43-46
    DOI: 10.1080/13504851.2013.837571
    顯示於類別:[管理科學學系暨研究所] 期刊論文


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