Basis-momentum strategies and ranking periods

Kyung Yoon Kwon, Jangkoo Kang and Jaesun Yun

Finance Research Letters, 2021, vol. 43, issue C

Abstract: We analyze basis-momentum, the difference between the past 12 months’ momentum in first- and second-nearby futures contracts suggested by Boons and Prado (2018). Since basis-momentum is related to the slope and the curvature over the ranking period, we split the 12-month ranking period into three subperiods—the current month, the past five months, and the six months before the previous five months—and construct three basis-momentums with them. Our results show that these three basis-momentums differ substantially in predicting future returns and have different economic determinants, namely, imbalance in the supply and demand and volatility risk in financial markets.

Keywords: Commodity futures; Basis; Momentum; Basis-momentum; Term structure (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000787

DOI: 10.1016/j.frl.2021.101997

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