Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets.

Author(s):

Ana-Maria Fuertes

City University London

Joelle Miffre

PhD, Professor of Finance, EDHEC Business School

Georgios Rallis

City University London

With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when implemented individually. With an abnormal return of 21.02%, a novel double-sort strategy that exploits both momentum and term structure signals clearly outperforms the single-sort strategies. This double-sort strategy can additionally be utilized as a portfolio diversification tool. Interestingly, the abnormal performance of the double-sort portfolios cannot be explained by a lack of liquidity or data mining and is robust to transaction costs and to different specifications of the risk-return trade-off.
Pdf
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term St...
(-1.00 B)
Type: Working paper
Date: le 05/05/2008
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

See Also

How To: 8 tips for choosing your MBA
News
- 08-03-2019
Embarking on an MBA can be life-changing. It’s also an investment on many levels; you’...
European Excellence and Make an Impact Scholarships available for September 2019 Intake
News
- 07-03-2019
Two New Scholarship Programmes for 2019 EDHEC Business School has added two new Global...
Paper co-authored by Lionel Martellini and Vincent Milhau wins the 20th Annual Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article from the Journal of Portfolio Management
News
- 04-03-2019
The paper, entitled "Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based...
One life, one journey - Hard work and dedication pay off
News
- 04-03-2019
Temitope Ayorinde, a 2018 Master in Management, Business Management graduate, left his...