✦ LIBER ✦

An examination of momentum strategies in commodity futures markets

✍ Scribed by Qian Shen; Andrew C. Szakmary; Subhash C. Sharma

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 248 KB
Volume: 27
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20252

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been reported in stocks. The profits documented are too large to be subsumed by transactions costs. Although the momentum strategies appear to be quite risky, their profitability cannot be fully accounted for in the context of a market factor model. Further, it is shown that momentum profits eventually reverse if positions are maintained long enough after portfolio formation. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:227–256, 2007

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