On the Profitability of Momentum Strategies in Commodity Futures Markets PDF Download
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Author: Michael Beck
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
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Book Description
Author: Michael Beck
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
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Book Description
Author: Anouk Zwiehoff
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Category :
Languages : en
Pages :
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Book Description
This paper investigates the profitability of a 52-Week High strategy first introduced by George and Hwang (2004) versus the profitability of 16 different momentum strategies applied to the 24 sub indices of the S&P Goldman Sachs Commodity Index. I build overlapping portfolios and find that the self-financing 52-Week High strategy - which is based on the ratio of an indices' current standing to its 52-week high - outperforms not only the average momentum strategy but also those four momentum strategies with a ranking period of 12 months which are assumed to offer the best possible comparability to the 52-Week High method. The general conclusions from this paper are fourfold. First, technical trading in commodities was profitable in the past, even after accounting for transaction costs. Second, I find that the 52-Week High method dominates the momentum strategies in commodity futures markets as it improves the forecasting power of the past for future returns. From a theoretical point of view, the results challenge the weak form of the Market Efficiency Hypothesis and from a practical point of view this thesis argues for the inclusion of commodity futures in conventional portfolios.
Author: Samuel Rollier
Publisher:
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Category :
Languages : en
Pages :
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Author: Joëlle Miffre
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Category :
Languages : en
Pages :
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The article tests for the presence of short-term continuation and long-term reversal in commodity futures prices. While contrarian strategies do not work, the article identifies 13 profitable momentum strategies that generate 9.38% average return a year. A closer analysis of the constituents of the long-short portfolios reveals that the momentum strategies buy backwardated contracts and sell contangoed contracts. The correlation between the momentum returns and the returns of traditional asset classes is also found to be low, making the commodity-based relative-strength portfolios excellent candidates for inclusion in well-diversified portfolios.
Author: Dan Calder
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages :
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Book Description
The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy yielding a return of 7.7% a year. This return is found to be substantially higher during specific periods of the sample. The strategy?s average abnormal gain caused by the continuation of returns is shown to be robust to the risk based explanations posited by many authors of the topic. Since the risk explanations do not hold for the momentum anomaly, the alternative explanation indicates towards market inefficiency. The results from this study indicate that market inefficiency is a plausible explanation for momentum profits as realised. Specifically, the abnormal profits seem to be a consequence of irrational investor behaviour, which tends to lead to an under-reaction to new market information.
Author: Andrew Urquhart
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
This paper investigates the performance of three different trading strategies - Jegadeesh and Titman (1993), George and Hwang (2004) and Gatev, Goetzmann and Rouwenhorst (2006) - in 29 commodity futures from January 1979 to October 2017. We find there is no significant reversal profit across 189 formation-holding windows for all the three strategies. However, there are statistical and economically significant momentum profits, and the profitability increases with the rising of formation-holding periods. The strategy of inversing the conventional Gatev, Goetzmann and Rouwenhorst (2006) is more profitable than the other two momentum strategies on a risk-adjusted basis; but the superiority declines sharply since 1998. Momentum returns are quite sensitive to market conditions but the crash of momentum returns are partly predictable. Return seasonality, risk and herding also provide partial explanation of the momentum profits.
Author: Pilar Corredor
Publisher:
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Category :
Languages : en
Pages :
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This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results leads us to conclude that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after adjusting for risk and transaction costs.
Author: Stephen Satchell
Publisher: John Wiley & Sons
ISBN: 1119599326
Category : Business & Economics
Languages : en
Pages : 448
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Book Description
A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Author: Thomas J. Dorsey
Publisher: John Wiley & Sons
ISBN: 0470179082
Category : Business & Economics
Languages : en
Pages : 210
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Book Description
Praise for Commodity Strategies "I have read many books on Point & Figure charting, but this is the first in its category-on the application of the time-tested methodology of Point & Figure charting, in particular, the concept of 'relative strength,' to pick outperforming commodities as well as to achieve diversification of non-correlated assets. If you are looking for a profitable and comprehensive methodology to making money from the commodity and currency markets and ETFs, look no further-you have found it. This book has it all." -Fred Tam, MPhil, CFTe, MSTA, lecturer in technical analysis at University Malaya and Open University Malaysia "Tom Dorsey is a market wizard who continues to stimulate the investor's mind. Commodity Strategies is powerful from start to finish with charts and many interesting insights. It's a clear guide for anyone looking to expand their investment horizon." -Joseph Barrato, EVP of Investment Strategies, Arrow Funds "This book and Dorsey's commodity strategies provide a much-needed, disciplined, and risk-managed framework for when and how to incorporate commodities into a portfolio. His investment methodologies along with the evolution of ETFs into alternative asset classes like commodities and currencies are a match made in heaven." -H. Bruce Bond, President and CEO, PowerShares Capital Management
Author: Wilma de Groot
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
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Book Description
This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.
