Commodity momentum: A tale of countries and sectors

John Hua Fan and Xiao Qiao

Journal of Commodity Markets, 2023, vol. 29, issue C

Abstract: This paper takes a cross-country and cross-sector perspective to investigate the drivers of commodity momentum strategies. Commodity momentum strategies deployed in the U.S. and Chinese markets generate positive average returns with non-negligible correlations, but their premia are primarily local, and their return characteristics are distinct. A prevalent sector effect explains a significant fraction of momentum profits in both markets, suggesting that long-short commodity futures momentum may be riskier than previously thought. Overall, our findings suggest commodity momentum is more consistent with a risk-based explanation in U.S. markets whereas risk alone is difficult to capture the premia in China.

Keywords: Commodity futures; Momentum; Sectors; Inflation; China (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000053

DOI: 10.1016/j.jcomm.2023.100315

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