增强动量策略的稳定性

Quantitative Portfolio Strategy Enhancing the Stability ofMomentum Strategies The performance of equity momentum strategies is known tobe volatile and dependent on market regimes. We presentseveral portfolio and signal construction techniques toenhance its stability. Quantitative Portfolio Strategy Arik Ben Dor(v)+1 212 526 7713arik.bendor@barclays.comBCI, US Stephan Florig(vi)+49 (0) 69 7161 1781stephan.florig@barclays.comBBI, Frankfurt •In Sep 2024, we proposed several methodologies to•enhancing the stability of momentum strategies usingportfolio and signal construction techniques. We use a Click to view slides Jingling Guan(v)+ 1 212 526 3623jingling.guan@barclays.comBCI, US standard equity momentum strategy as a starting point, and investigate the benefits of riskneutralization through portfolio optimization, as well as using a smarter signal from the bondmarket (BEAM) and using shorting data to filter out expensive/cheap names for the long/shortlegs (e-SHINE). James Li, CFA(v)+1 212 526 6418james.li@barclays.comBCI, US •The resulting smart momentum strategy delivered higher returns, was less prone to crashes•and was more stable under changing market conditions, while maintaining a high correlationwith the original Momentum strategy. •We also test whether the smart momentum withstood the momentum drawdown in Q1 25•since publication. Analyst(s) Certification(s):In relation to our respective sections we, Jingling Guan, Arik Ben Dor, Stephan Florig and James Li, CFA, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of the subject securities or issuers referred to in this research report and (2)no part of our compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this research report. EQUITY: IMPORTANT DISCLOSURES Barclays Research is produced by the Investment Bank of Barclays Bank PLC and itsaffiliates(collectively and each individually, "Barclays"). Allauthors contributing to this research report are Research Analysts unless otherwise indicated. The publication date at the top of the report reflects thelocal time where the report was produced and maydifferfrom the release date provided in GMT. Availability of Disclosures: To the extent that the information about the companies mentioned in this publication issufficientto constitute a research report, for current importantdisclosures regarding those companies please refer to https://publicresearch.barclays.com or alternatively send a written request to: BarclaysResearch Compliance, 745 Seventh Avenue, 13th Floor, New York, NY 10019 or call +1-212-526-1072. The analysts responsible for preparing this research report have received compensation based upon various factors including the firm's total revenues,a portion of which is generated by investment banking activities, the profitability and revenues of the Markets business and the potential interest of thefirm's investing clients in research with respect to the asset class covered by the analyst. Research analysts employed outside the US byaffiliatesof Barclays Capital Inc. are not registered/qualified as research analysts with FINRA. Such non-US research analysts may not be associated persons of Barclays Capital Inc., which is a FINRA member, and therefore may not be subject to FINRA Rule2241 restrictions on communications with a subject company, public appearances and trading securities held by a research analyst’s account. Analysts regularly conduct site visits to view the material operations of covered companies, but Barclays policy prohibits them from accepting paymentor reimbursement by any covered company of their travel expenses for such visits. Barclays Research Department produces various types of research including, but not limited to, fundamental analysis, equity-linked analysis,quantitative analysis, and trade ideas. Recommendations contained in one type of Barclays Research maydifferfrom those contained in other types ofBarclays Research, whether as a result ofdifferingtime horizons, methodologies, or otherwise. In order to access Barclays Statement regarding Research Dissemination Policies and Procedures, please refer to https://publicresearch.barclays.com/S/RD.htm. In order to access Barclays Research Conflict Management Policy Statement, please refer to: https://publicresearch.barclays.com/S/CM.htm. Risk Disclosure(s) Master limited partnerships (MLPs) are pass-through entities structured as publicly listed partnerships. For tax purposes, distributions to MLP unitholders may be treated as a return of principal. Investors should consult their own tax advisors before investing in MLP units. Disclosure(s) regarding Information Sources Bloomberg® is a trademark and service mark of Bloomberg Finance L.P. and itsaffiliates(collectively “Bloomberg”) and the Bloomberg Indices aretrademarks of Bloomberg. Bloomberg or Bloomberg’s licensors