Tactical allocation in commodity futures markets: Combining momentum and term structure signals

Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis

Journal of Banking & Finance, 2010, vol. 34, issue 10, 2530-2548

Abstract: This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66%, respectively, the momentum and term structure strategies appear profitable when implemented individually. With an abnormal return of 21.02%, our double-sort strategy that exploits both momentum and term structure signals clearly outperforms the single-sort strategies. This double-sort strategy can additionally be utilized as a portfolio diversification tool. The abnormal performance of the combined portfolios cannot be explained by a lack of liquidity, data mining or transaction costs.

Keywords: Commodity; futures; Momentum; Term; structure; Double-sort; strategy (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (90)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:10:p:2530-2548

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