Journal of Banking & Finance Vol. 48 2014
Exploiting commodity momentum along the futures curves
open access
Abstract
This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.
- DOI
- 10.1016/j.jbankfin.2014.08.008
- Volume
- 48
- Pages
- 79-93
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib