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“Time series momentum” in commodity markets

Julien Chevallier and Florian Ielpo ()

Managerial Finance, 2014, vol. 40, issue 7, 662-680

Abstract: Purpose - – The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitz Design/methodology/approach - – The paper applies the new concept of “time series momentum” to the sphere of commodity markets. Findings - – The paper extends the results previously obtained by Moskowitz Research limitations/implications - – Further management strategies can be elaborated for investment management purposes, based on the suggested inclusion of the “time series momentum” in commodities. Practical implications - – The empirical evidence gathered in this paper bears practical significance for portfolio managers and commodity tradings advisors relying on trend following strategies. Originality/value - – Commodity markets are quickly developing to an alternative asset class for investors. Discovering their properties and characteristics has a broad appeal in finance.

Keywords: Commodity markets; Time series momentum; Trend following strategy; Breakout strategy (search for similar items in EconPapers)
Date: 2014
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