34 Pages Posted: 20 Apr 2005 Last revised: 10 Nov 2015
Date Written: August 5, 2006
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: G13, G14
Suggested Citation: Suggested Citation
Miffre, Joëlle and Rallis, Georgios, Momentum Strategies in Commodity Futures Markets (August 5, 2006). Journal of Banking and Finance, Vol. 31, No. 9, 2007. Available at SSRN: https://ssrn.com/abstract=702281 or http://dx.doi.org/10.2139/ssrn.702281