Measuring the impact of strategic and tactic allocation for managed futures portfolios

摘要

The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. In addition, this thesis examines on which level - instrument, asset class or total portfolio level - a momentum strategy has the largest effect. This is done by applying design of experiments. The final result in this thesis finds that risk parity and target volatility improve the Sharpe ratio compared to a classic 60/40 capital allocation. Furthermore, utilising momentum strategies is the most beneficial on the asset class level, i.e. to allocate between equitiy indices and bond futures.