动量思想与大宗商品的战术配置价值*——基于Black Litterman模型

本文讨论了大宗商品的战术资产配置价值。通过利用1973—2016年的季度数据，笔者提出了基于动量思想的Black Litterman配置模型。该配置模型表明，在传统股票债券组合中加入GSCI大宗商品指数会明显改善组合的回报。在适当的策略周期下，加入大宗商品指数还能够提高组合的夏普比。这表明，大宗商品指数的战术配置价值明显。与其他常见的配置模型相比，本文提出的基于动量思想的Black Litterman模型表现相对较好。上述发现在经过交易成本调整后仍然成立。

MOMENTUM AND THE TACTICAL VALUE OF COMMODITY IN ASSET ALLOCATION——Based on Black Litterman Model

This paper investigates the tactical value of commodity in asset allocation. Using the data from 1973 to 2016, we propose a new method by applying the basic idea of momentum into the Black Litterman model. The out of sample allocation performance shows that adding the S&P GSCI commodity index can improve the traditional equity and bond portfolio in return. And under some ranking periods, Sharpe ratio will also be improved. In addition, comparing with other popular allocation method, the new methods based on momentum and Black Litterman model do a better job. Such findings are robust to the transaction cost.