Premium
An examination of momentum strategies in commodity futures markets
Author(s) -
Shen Qian,
Szakmary Andrew C.,
Sharma Subhash C.
Publication year - 2007
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20252
Subject(s) - futures contract , momentum (technical analysis) , economics , portfolio , financial economics , profitability index , equity (law) , commodity , context (archaeology) , monetary economics , finance , paleontology , political science , law , biology
Abstract Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been reported in stocks. The profits documented are too large to be subsumed by transactions costs. Although the momentum strategies appear to be quite risky, their profitability cannot be fully accounted for in the context of a market factor model. Further, it is shown that momentum profits eventually reverse if positions are maintained long enough after portfolio formation. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:227–256, 2007