代写FBE 555: Spring 2024 Futures Momentum: Research Project调试R语言程序

FBE 555: Spring 2024

Futures Momentum: Research Project

In this project, you will form. a momentum-based trading strategy for commodity futures contracts. This will be a small version of the type of time-series momentum strategy outlined in the “Demystifying Managed Futures” article by Hurst, Ooi, and Pedersen. Your goal is to build and then evaluate and test a portfolio that will invest (go long and/or short) a small basket of commodity futures, based upon a momentum signal generated from historical returns.

Use the excel file “Research Project Sheet” to build your project. The front sheet of this sheet has important formatting to assist with the grading of your project. Other sheets contain the data you will use to create and test your strategy. You can put together whatever you need on other sheets, but that work should reference the input columns on the front sheet and the output fields on the front sheet should reference your work (i.e., don’t hard-code the results on the front page). I will test your project by replacing your input commodity returns (columns B-F on the Front Sheet) with a different set of returns – your output should change to calculate answers based on my new inputs.

You should select 5 commodities from the list to include in your trading strategy. You should then choose a lookback period (how many months of historical returns to build your momentum signal on?) – choose either 3 or 12 months. You should choose the same horizon for all of your commodities. You will then hold that portfolio for the next 1 month, and reiterate. In this exercise, we will only consider holding periods of 1 month following the momentum signal.

Compute the return for each of your commodity futures over your lookback period. If the return over this lookback period is positive, your momentum signal will go long that asset over the following month. If that momentum signal is negative, your strategy should go short. Be careful to not include the current month in the lookback period (i.e., make sure to not use forward-looking information in calculating your signal). Then proceed to calculate the portfolio return and associated metrics.

Some notes:

· The returns I have provided in the spreadsheet are excess returns, so they already have subtracted off the risk-free rate. Therefore, when you calculate Sharpe ratios you do not need to subtract the risk-free rate. (Just do return divided by standard deviation.)

· You will need to lever up each individual TSMOM strategy for your 5 commodities to 40% volatility (rows 20-27) and then combine them into a single portfolio and once again lever up.

· You should calculate a monthly return series for the EW Commodity Portfolio from your commodity futures each month. You have 24 commodity futures (all are commodities except SPX which is the S&P 500 future contract). The return for your EW Commodity Portfolio each month is just the equally weighted average of the 24 monthly commodity futures returns.  Use this as the Commodity Factor return in your two-factor regression.

· There are some additional questions on the “TSMOM Data” Tab. Do the work on that tab, and answer the questions in the boxes provided on the “Front Sheet”.