The Impact of Different Trading Strategies on the Same Portfolio

Research Article
Open access

The Impact of Different Trading Strategies on the Same Portfolio

Wanrong Zhao 1*
  • 1 Troy University    
  • *corresponding author wzhao197910@troy.edu
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/16/20231030
AEMPS Vol.16
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-75-1
ISBN (Online): 978-1-915371-76-8

Abstract

The frequent occurrence of political events, the spread of the epidemic and changes in policies of various countries have made the market more volatile. Due to the instability of the overall economic environment, investors are increasingly focusing on using strategies to improve returns, so this article selects several hedge fund trading strategies, analyzes the same trading portfolio, and compares the performance of different trading portfolios. Different effects of the same combination give spirits to investors when making transactions. The market neutral trading strategy is effective for the trading combination of F and NVDA. Based on different data, the long-short equity trade strategies are not completely effective, and the credit arbitrage trade strategy is not suitable for this trading combination. Market neutral trading strategies and long-short equity trade strategies basically meet the combination of F and NVDA, but due to the possibility of credit rating fluctuations, credit arbitrage trade strategy does not meet this combination. These different effects reflect some of the underlying factors in the market, so the analysis in this article will improve investors' understanding of investment strategies and change their previous trading thoughts. Taking these effects into consideration can help investors effectively avoid potential risks, make better choices, or obtain more returns.

Keywords:

trade strategies, portfolio return, different outcomes

Zhao,W. (2023). The Impact of Different Trading Strategies on the Same Portfolio. Advances in Economics, Management and Political Sciences,16,318-325.
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References

[1]. Wu, ME., Syu, JH., Lin, J.CW. et al. Portfolio management system in equity market neutral using reinforcement learning. Appl Intell 51, 8119–8131 (2021).

[2]. Barmish, B.R. and Primbs, J.A., 2012, June. On market-neutral stock trading arbitrage via linear feedback. In 2012 American Control Conference (ACC) (pp. 3693-3698). IEEE.

[3]. Fung, W. and Hsieh, D.A., 2011. The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds. Journal of Empirical Finance, 18(4), pp.547-569.

[4]. Ineichen, A. M. (2002). Who's Long? Market-Neutral versus Long/Short Equity. The Journal of Alternative Investments, 4(4), 62-69.

[5]. Peltomäki, J. and Peni, E., 2010. Style rotation and the performance of Equity Long/Short hedge funds. Journal of Derivatives & Hedge Funds, 16(3), pp.162-175.

[6]. Nwachukwu, U. and Kaluaratchi, H., 2010. Constant growth investment strategies for non-dividend paying large cap us companies.

[7]. Ramina, V. and Kailasnathan, S., Investment Analysis based on the Principles of Value Investing using Machine Learning. Ipem journal of computer application & research, p.64.

[8]. Miffre, J. and Rallis, G., 2007. Momentum strategies in commodity futures markets. Journal of Banking & Finance, 31(6), pp.1863-1886.

[9]. Leivo, T.H. and Pätäri, E.J., 2011. Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence. Journal of Asset Management, 11(6), pp.401-416.

[10]. Hull, J., Predescu, M. and White, A., 2004. The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of banking & finance, 28(11), pp.2789-2811.

[11]. Kapadia, N. and Pu, X., 2012. Limited arbitrage between equity and credit markets. Journal of Financial Economics, 105(3), pp.542-564.

[12]. Yahoo finance. https://finance.yahoo.com/quote/F/history?p=F

[13]. Yahoo finance. https://finance.yahoo.com/quote/NVDA/history?p=NVDA

Cite this article

Zhao,W. (2023). The Impact of Different Trading Strategies on the Same Portfolio. Advances in Economics, Management and Political Sciences,16,318-325.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2nd International Conference on Business and Policy Studies

ISBN：978-1-915371-75-1(Print) / 978-1-915371-76-8(Online)
Editor：Javier Cifuentes-Faura, Canh Thien Dang
Conference website: https://2023.confbps.org/
Conference date: 26 February 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.16
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. Wu, ME., Syu, JH., Lin, J.CW. et al. Portfolio management system in equity market neutral using reinforcement learning. Appl Intell 51, 8119–8131 (2021).

[2]. Barmish, B.R. and Primbs, J.A., 2012, June. On market-neutral stock trading arbitrage via linear feedback. In 2012 American Control Conference (ACC) (pp. 3693-3698). IEEE.

[3]. Fung, W. and Hsieh, D.A., 2011. The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds. Journal of Empirical Finance, 18(4), pp.547-569.

[4]. Ineichen, A. M. (2002). Who's Long? Market-Neutral versus Long/Short Equity. The Journal of Alternative Investments, 4(4), 62-69.

[5]. Peltomäki, J. and Peni, E., 2010. Style rotation and the performance of Equity Long/Short hedge funds. Journal of Derivatives & Hedge Funds, 16(3), pp.162-175.

[6]. Nwachukwu, U. and Kaluaratchi, H., 2010. Constant growth investment strategies for non-dividend paying large cap us companies.

[7]. Ramina, V. and Kailasnathan, S., Investment Analysis based on the Principles of Value Investing using Machine Learning. Ipem journal of computer application & research, p.64.

[8]. Miffre, J. and Rallis, G., 2007. Momentum strategies in commodity futures markets. Journal of Banking & Finance, 31(6), pp.1863-1886.

[9]. Leivo, T.H. and Pätäri, E.J., 2011. Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence. Journal of Asset Management, 11(6), pp.401-416.

[10]. Hull, J., Predescu, M. and White, A., 2004. The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of banking & finance, 28(11), pp.2789-2811.

[11]. Kapadia, N. and Pu, X., 2012. Limited arbitrage between equity and credit markets. Journal of Financial Economics, 105(3), pp.542-564.

[12]. Yahoo finance. https://finance.yahoo.com/quote/F/history?p=F

[13]. Yahoo finance. https://finance.yahoo.com/quote/NVDA/history?p=NVDA

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