Details
| Original language | English |
|---|---|
| Article number | 105718 |
| Journal | Journal of Banking and Finance |
| Volume | 113 |
| Early online date | 6 Dec 2019 |
| Publication status | Published - Apr 2020 |
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.
Keywords
- Behavioral, Commodities, Curve, Momentum, Term structure
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Journal of Banking and Finance, Vol. 113, 105718, 04.2020.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Curve momentum
AU - Paschke, Raphael
AU - Prokopczuk, Marcel
AU - Wese Simen, Chardin
PY - 2020/4
Y1 - 2020/4
N2 - 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.
AB - 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.
KW - Behavioral
KW - Commodities
KW - Curve
KW - Momentum
KW - Term structure
UR - http://www.scopus.com/inward/record.url?scp=85078098643&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2019.105718
DO - 10.1016/j.jbankfin.2019.105718
M3 - Article
AN - SCOPUS:85078098643
VL - 113
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
M1 - 105718
ER -