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Transtrend的最新研究强调了多元化投资策略下市场的非线性和非对称行为。该论文强调了忽视市场行为的非线性和非对称性会如何导致低估投资组合风险。此外，这些特征如何为多元化的交易策略创造机会。Transtrend的多元化趋势计划（“ DTP”）是一种多元化的交易策略，可同时持有许多不同的头寸。
这些头寸中的每一个都有效地承担着许多不同的风险。任何一对仓位都可以分担（或增加）一种风险，同时部分抵消（或对冲）另一种风险。投资的真正挑战是平衡所有这些风险，而又不能将它们全部对冲或暴露于一个主要的单一风险因素中。
市场对常见风险因素的价格敏感度可能会随时间变化。而且，在极端情况下相关性可能会高于某个阈值。此现象与风险管理有关，在构建投资组合时应予以考虑。
本文讨论了许多非对称和非线性行为的例子，包括在Eurex上市的10年期德国国债期货，10年期意大利政府债券期货和欧元stoxx银行期货的案例。通过这篇研究，Transtrend提供了关于他们是如何在其策略中使用Eurex期货的独特见解。
图1：十年期德国债期货
图2：10年期意大利债券期货
图3：STOXX®600银行指数期货
关于Transtrend
总部位于鹿特丹的Transtrend是系统化交易的先驱，拥有25年以上的业绩记录，专门研究趋势跟踪。Transtrend的团队经验丰富，由60多名合格的专业人员组成，其中大约一半致力于研究与开发，这说明了该公司对正在进行的研发的承诺。Transtrend培育创新，独立思考和风险控制的文化，旨在为功能完善，组织有序和稳定的市场做出贡献。Transtrend的多元化趋势计划的交易风格是“系统性中期趋势跟踪”，这是一种公认的主动策略，与传统资产类别以及其他对冲基金风格有非线性关联。自1992年6月以来，该计划具有良好的业绩记录，并具有吸引人的风险收益特征，在股市压力期间，仍收益丰厚。Transtrend目前管理着约60亿美元（包括名义资金）。
Market Status ⓘ
XEUR
The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.
Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.
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