Exploiting commodity momentum along the futures curves

Wilma de Groot, Dennis Karstanje and Weili Zhou

Journal of Banking & Finance, 2014, vol. 48, issue C, 79-93

Abstract: 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.

Keywords: Commodity futures; Momentum; Term structure; Futures curve; Roll yield; Transaction costs (search for similar items in EconPapers)
JEL-codes: G11 G13 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:48:y:2014:i:c:p:79-93

DOI: 10.1016/j.jbankfin.2014.08.008

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