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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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Type : Working paper
Date : 05/05/2008
Keywords :

Commodities