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http://ssrn.com/abstract=702281
 
 

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Momentum Strategies in Commodity Futures Markets


Joelle Miffre


EDHEC Business School

Georgios Rallis


City University of London - Sir John Cass Business School

August 5, 2006

Cass Business School Research Paper

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.

Number of Pages in PDF File: 34

Keywords: Commodity futures, Momentum, Backwardation, Contango, Diversification

JEL Classification: G13, G14

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Date posted: April 20, 2005  

Suggested Citation

Miffre, Joelle and Rallis, Georgios, Momentum Strategies in Commodity Futures Markets (August 5, 2006). Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=702281 or http://dx.doi.org/10.2139/ssrn.702281

Contact Information

Joelle Miffre (Contact Author)
EDHEC Business School ( email )
58 rue du Port
Lille, 59046
France
Georgios Rallis
City University of London - Sir John Cass Business School ( email )
106 Bunhill Row
e-mail: g.rallis@city.ac.uk
London, EC1Y 8TZ
United Kingdom
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