Research and publications
Timing Commodity Momentum
This paper examines simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango. It finds that these timed strategies outperform winner, loser and momentum strategies. The analysis thus provides evidence that commodity momentum is a dynamic phenomenon, and has implications for commodity managers as it provides simple active strategies that outperform passive momentum benchmarks.
Author(s):
Devraj Basu, Joëlle Miffre
Summary:
This paper examines simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango. It finds that these timed strategies outperform winner, loser and momentum strategies. The analysis thus provides evidence that commodity momentum is a dynamic phenomenon, and has implications for commodity managers as it provides simple active strategies that outperform passive momentum benchmarks.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 10/06/2008 |
| Keywords : |
Commodities |
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