与趋势为伍：动能策略.pdfVIP

FOCUS | GLOBAL 26 March 2019 EQUITY DERIVATIVES Befriend the trend – members momentum strategy MODEL SIGNAL Behavioural bias can be one reason investors Consider a Members Momentum strategy, based on a typically sell out after a large drawdown in equity monthly breadth indicator. markets and do not buy back in, missing the potential  In US: invest 50% in equities SPTR or BNPIFMU, recovery (for example in March 2009 after the financial and 50% in long-term bonds LT11TRUU index crisis). People may react far more acutely to a 50% (indicator ref. 53.91) loss than a 50% gain due to loss aversion (Kahneman Tversky, 1979).  In EUR: invest 50% in equities SXXT or BNPIFME, and 50% in long-term bonds LEG2TREU index A simple trend-system to time the entry or exit (indicator ref. 52.79) from equities is a way to avoid this potential bias. This systematic strategy can potentially outperform  In US and EUR: no signal to hedge as indicators are average biased asset allocation realised returns above 50 (Figure 1). KEY MESSAGE