Tracking speculative trading
通过分析持仓数据，发现管理期货基金主要采用趋势跟踪策略，并用广义岭回归估计其信号，对23种大宗商品平均解释超过40%的投机者仓位变化，同时发现生产者反向操作与动量交易者行为镜像。
Managed futures funds are predominantly trend-followers. By analyzing positioning data, we provide novel evidence for this claim and estimate signals applied by these funds. We write trend-followers aggregate position as a weighted sum of past daily returns and use a generalized ridge regression for regularization and parameter estimation. This procedure prevents overfitting but remains flexible enough to capture various patterns. For the 23 commodities considered, trend-following can explain speculators’ position changes with an average R2 of more than 40%. Finally, we document that producers act as contrarians in a way that closely mirrors the behavior of momentum traders.