Research and publications
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals
This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when implemented individually. A revisited version of this working paper was published in the October 2010 issue of the Journal of Banking and Finance.
Author(s):
Ana-Maria Fuertes, Joëlle Miffre, Georgios Rallis
Summary:
This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when implemented individually. A revisited version of this working paper was published in the October 2010 issue of the Journal of Banking and Finance.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 05/05/2008 |
| Keywords : |
Commodities |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
