 Time-series and cross-sectional momentum and contrarian strategies within the commodity futures marketsEnrique Benavides Rosales Cogent Economics & Finance, 2017, vol. 5, issue 1, 1339772 Abstract: The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it’s observed that they perform better within the cross-sectional analysis. The correlation of the best portfolios within other markets is also examined, and the results confirm that they are indeed a good investment tool for diversifying a portfolio with different assets. Within a pre- and post-2008 global crisis point of view, the findings suggest that, for the contrarian portfolios, the results are stronger during the pre-crisis period, although during the post-crisis period the portfolios preserve the positive returns. Additionally, it’s perceived that the first and second subsequent years after a crash or crisis year are usually highly profitable within the cross-sectional and time-series contrarian portfolios. Date: 2017 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1339772 Ordering information: This journal article can be ordered from DOI: 10.1080/23322039.2017.1339772 Access Statistics for this article Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang More articles in Cogent Economics & Finance from Taylor & Francis Journals |
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