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

Innovative research: EDHEC strengthens its leadership in infrastructure at Paris Infraweek
News
- 08-10-2019
EDHECinfra, the EDHEC research centre dedicated to infrastructure, will take part in "...
HOW NEW ACADEMIC PROGRAMMES ARE BORN
News
- 02-10-2019
HOW DID THE PROGRAMME COME INTO BEING? It all started in 2016. At that time, EDHEC did...
Predictive justice: failsafe or false promise?
Publication
- 02-10-2019
Justice in trial The determination (or perception, depending on the case) of justice in...
EDHEC teams up with Coursera to launch MOOCs in machine learning techniques for financial-sector professionals
- 01-10-2019
EDHEC-Risk Institute, EDHEC Business School’s financial research hub, has teamed up...