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

See Also

Financial Times ranks EDHEC Executive Education among the Top 10 worldwide
News
- 23-05-2022
EDHEC Business School’s executive education offers rank among the Top 10 globally...
EDHEC partners with VIVATECH 2022 and offers 400 tickets to EDHEC students
News
- 20-05-2022
EDHEC is once again a partner of the unmissable tech event of the year, Viva Technology...
(Invitation) Inauguration of the Management in Innovative Health Chair - May 30, 2022 in Paris
News
- 17-05-2022
Emmanuel Métais, Dean of EDHEC Business School and Christophe Durand, General Manager...
News
- 10-05-2022
Live on YouTube !