Momentum Strategies In Commodity Futures Markets英文电子书.pdf

EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: research@ Web: Momentum Strategies in Commodity Futures Markets Joëlle Miffre Associate Professor of Finance, EDHEC Business School Georgios Rallis Cass Business School, Ph.D. Student AbSTRACT 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. Keywords: Commodity futures, Momentum, Backwardation, Contango, Diversification JEL classification codes: G13, G14 Author for correspondence : Joëlle Miffre, Associate Professor of Finance, EDHEC Business School, 393 Promenade des Anglais, 060, Nice, France, Tel: +33 (0)4 93 18 3 55, e-mail: joelle.miffre@ A version of this paper is forthcoming in the Journal of Banking and Fina