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

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.

Type: Working paper
Date: le 06/10/2008
Research Cluster : Finance

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