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Curve momentum

Raphael Paschke, Marcel Prokopczuk () and Chardin Wese Simen

Journal of Banking & Finance, 2020, vol. 113, issue C

Abstract: We propose a momentum strategy that operates within commodity futures curves. The diversified curve momentum strategy generates a significantly positive average excess return and a (annualized) Sharpe ratio of 1.28. The profitability of the strategy has increased markedly in the more recent years. These excess returns are difficult to reconcile with risk based explanations, as evidenced by the significantly positive alpha after controlling for exposure to several well-known risk factors. The average excess return on the diversified curve momentum strategy remains significantly positive even after accounting for transaction costs.

Keywords: Behavioral; Commodities; Curve; Momentum; Term structure (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.jbankfin.2019.105718

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