Momentum Strategies in Commodity Futures Markets

34 Pages Posted: 20 Apr 2005 Last revised: 10 Nov 2015

See all articles by Joëlle Miffre

Joëlle Miffre

Audencia Nantes School of Management; Audencia Business School

Georgios Rallis

City University of London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

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

Miffre, Joelle 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: or

Joelle Miffre (Contact Author)

Audencia Nantes School of Management ( email )

8 route de la Jonelière, BP 31222
Nantes Cedex 3, Cedex 3 44312

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312

Georgios Rallis

City University of London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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