Timing Commodity Momentum

We examine simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango.

Author(s) :

Devraj Basu

Professor of Finance at EDHEC Business School

Joelle Miffre

Professor of Finance at EDHEC Business School

Presentation :

We find that these timed strategies outperform winner, loser and momentum strategies. Our 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.
Pdf
Timing Commodity Momentum...
(119.42 KB)
Type : Working paper
Date : le 06/10/2008
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault, Direction de la recherche de l'EDHEC [ severine.anjubault@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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