carry_futures_basket
Koijen-Moskowitz-Pedersen-Vrugt (2018) JFE 'Carry' — futures roll yield (期近-期先) は 9 asset class で universal factor、 Sharpe 0.5-1.0 (1972-2012)
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Koijen-Moskowitz-Pedersen-Vrugt (2018) JFE 'Carry' — futures roll yield (期近-期先) は 9 asset class で universal factor、 Sharpe 0.5-1.0 (1972-2012)
Supported Markets
Universal
State Transition History
No state changes recorded yet