Curve momentum

verfasst von

Raphael Paschke, Marcel Prokopczuk, Chardin Wese Simen

Abstract

We propose a momentum strategy that operates within commodity futures curves. The diversified curve momentum strategy generates a significantly positive average excess return and a (annualized) Sharpe ratio of 1.28. The profitability of the strategy has increased markedly in the more recent years. These excess returns are difficult to reconcile with risk based explanations, as evidenced by the significantly positive alpha after controlling for exposure to several well-known risk factors. The average excess return on the diversified curve momentum strategy remains significantly positive even after accounting for transaction costs.

Organisationseinheit(en)

Institut für Finanzwirtschaft und Rohstoffmärkte

Externe Organisation(en)

University of Reading
The University of Liverpool

Typ

Artikel

Journal

Journal of Banking and Finance

Band

113

ISSN

0378-4266

Publikationsdatum

04.2020

Publikationsstatus

Veröffentlicht

Peer-reviewed

Ja

ASJC Scopus Sachgebiete

Finanzwesen, Volkswirtschaftslehre und Ökonometrie

Elektronische Version(en)

https://doi.org/10.1016/j.jbankfin.2019.105718 (Zugang: Geschlossen)