Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088779 | Journal of Banking & Finance | 2014 | 15 Pages |
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.
Related Topics
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Economics and Econometrics
Authors
Wilma de Groot, Dennis Karstanje, Weili Zhou,