每日英语(2019-03-15)
每日短语
do a runner(溜之大吉)
If you mean to leave a place in order to avoid a difficult or unpleasant situation-then I suppose you are right.
Eg1: The new trainee did a runner after the first day - I don’t think he could cope with the high-pressure environment.
每日名言
Take the rough with the smooth
既能吃苦又能享乐
每日新闻
Profitable Momentum Strategies（盈利动力策略） for Individual Investors
Get ready to delve into（钻研） the world of momentum strategies as this research sets out to discover if individual investors can attain consistent（一贯的） profitability. A myriad of（无数的） research and years of study reveal that momentum strategies can reach stable returns in a variety of financial markets. Most of these studies pertain to（属于） institutional and professional level funds（机构和专业基金） that have greater access to capital than individual investors.
But can individuals attain such profitability with momentum strategies?
With only 0.6% of mutual funds outperforming the benchmark index, many individual investors have limited opportunity to gain alpha. Furthermore, individual traders have more limitations than professional investors such as high trading costs and selling constraints. Even popular funds, like AQR Capital which utilizes momentum strategies, has a minimum initial investment of $5 million.
So the quest to determine if the barrier to entry could be lowered for individual investors through a simplified strategy that utilizes topside momentum（上行势头） begins. The methodology（方法） is relatively simple: the study starts by taking all of the delisted（摘牌） and listed（挂牌） stocks using Thomson Reuters DataStream (this is to avoid survivorship bias（生存偏差）) and filtering out illiquid stocks（过滤掉流动性不足的股票） with less than $20 million. Then each instrument was ranked from highest performer to lowest based on a six month formation period. The best performers were bought at the close price of the first day of trading directly after the six month formation period（六个月形成期后）. The holding period for the first test lasted 12 months the results revealed that this basic strategy outperformed the S&P 500 by 0.5% to 2.44 % per month.
However, investors cannot naïvely adopt a trading strategy without first taking transaction costs and volatility（交易成本和波动性） into consideration. The general transaction costs plus the spread and nominal SEC fee（一般交易成本加上差价和名义SEC费用） were added into the equation next and tested on various initial investments from $5,000 to $1 million dollars on the same data. The researchers accounted for systematic risk using the CAPM and Fama-French models and the results were astounding（惊人的）. Monthly alpha remained, on average, at 1.5% per month or higher for accounts with two to ten equities in their portfolio. The only exception（例外） to these results was during a financial crisis as the momentum strategy had relatively large losses during the financial crisis of 2007 and 2008. Be sure to check out the research paper to see the returns of each combination of trading frequencies on each initial investment.
Monthly, bi-monthly, quarterly, tri-yearly, bi-yearly and yearly trading frequencies were also tested on the various initial investment amounts. Understandably, higher trading frequency increases transaction costs as trades were closed and reopened more frequently. In order to be successful, the volatility（挥发性） needs to decrease at a higher rate than performance as frequency increases.
The data concludes that it is, in fact, possible for individual investors with smaller account sizes to achieve profitability by utilizing topside momentum strategies. The ideal trading frequency was monthly to bi-yearly for lower balance accounts trading five to eight of the top performing equities in the market.
参考资料：https://www.quantnews.com/profitable-momentum-strategies-for-individual-investors/
