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Exploiting commodity momentum along the futures curves

Listed author(s):
  • de Groot, Wilma
  • Karstanje, Dennis
  • Zhou, Weili
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426614002751
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 48 (2014)
    Issue (Month): C ()
    Pages: 79-93

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    Handle: RePEc:eee:jbfina:v:48:y:2014:i:c:p:79-93
    DOI: 10.1016/j.jbankfin.2014.08.008
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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